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Sorry this question has probably been asked a thousand times. I've checked the forum which has a few threads and have tried to solve the problem myself but am new to sierra chart and futures trading in general. Likely I am overlooking something simple I suppose.
I'm attempting to replicate the CME E-mini daily chart available from their website.
I have attached the daily chart directly from the CME website. It has bars up until Friday and then skips Sat/Sun and starts again with a bar on Monday. For example it goes from 9/24--->9/27 (aka it skips 9/25, 9/26)
I'm trying to replicate the correct closes, etc based on this official CME data in Sierra chart.
Currently using these settings based on what I understand is start/end for EST time
The sierra chart skips a friday bar altogether which I think is causing the candlestick formation discrepancies and volume differences.
Any help would be awesome.
Can you help answer these questions from other members on NexusFi?
I’m not at my SC program at the moment but I think if you use intraday chart for your daily the chart will be 1 day behind.
You probably have “Combine Sunday and Monday bars” checked. That’s how mine is setup, I want Sunday to be combined with Monday.
IDK how to get the closes to match CME. I think your end time has to match the CME settlement time. I believe using historical chart
for your daily the closes will match the CME. I may be wrong but I think so.
SC is not skipping Friday, it's simply date-time-stamping the bars based on your session start and end times, which is 1800 and 1700. So Thursday's bar starts at 1800 on Thursday and ends at 1700 on Friday. Friday starts at 1800 on Friday and ends at 1700 on Saturday, but since the market is closed during those times, it skips the Friday bar. Then Saturday starts at 1800 and ends at 1700 on Sunday. Since you are in Eastern time zone, the Sunday open doesn't occur until 1800, but since the market is still closed, again, it skips the Saturday bar. Then Sunday starts at 1800 and you're back in business.
If you want the bars to perfectly align with the calendar date, you will have to use 00:00:00 and 23:59:59 as your session start/end times. As far as getting your chart to perfectly replicate the CME chart, not sure if that is even possible, but you can play around with the session start/end times to see how close you can get. Also, the CME chart is for MES, while your chart is for ES, which would produce minor discrepancies, but still.
To replicate the CME daily chart, you must select Historical Chart...Days.
Sierra uses .scid data files to create Intraday charts, and .dly data files to create Historical daily charts.
The .dly data is from a separate CME feed and uses CME settlement prices, which are inconsistent (i.e. esoteric) with Intraday close prices.
So it's not possible to create a 1-0-0 Intraday chart that will consistently match an Historical Daily chart.
With an Historical daily chart, the timezone is irrelevant because .dly data always uses the exchange's timezone.
But since the date changes at midnight, and the settlement is hours earlier in the previous day, 1-0-0 dated bars will not always match, even if you use the exchange's timezone.
To add to the confusion is Sierra's use of the word 'historical'. In their documentation, it is used interchangeably with intraday .scid data and daily .dly data.
Technically speaking, any data from the past is historical, but an Historical chart is exclusively from .dly data.
Maybe the terms Intraday and Interday would be better when referring to charts created with .scid data and .dly data, respectively.
