Sierra Chart Real-Time and Historical Exchange Data Feed

CME Logo       Eurex Logo       ICE Logo       Euronext       NASDAQ       BATS       TSX      

Introduction

Sierra Chart offers a Real-Time and Historical market data feed from various exchanges which is fully integrated with the trading services Sierra Chart supports or can be used independently of Trading Services. This is known as the Sierra Chart Exchange Data Feed.

This is a high quality and low latency data feed that provides tick by tick data.

For CME Futures data, this data feed sets a very high standard for market data because it provides unfiltered data and provides 100% accurate Bid Volume and Ask Volume. It can serve as a reference point for other data feeds.

If you are looking for a high quality futures and stock data feed for Sierra Chart, then this is an excellent choice. For example, if you are using the Numbers Bars study, this is one of the very best data feeds to use.

To get started using the Sierra Chart Exchange Data Feed, follow the Setup Instructions.

Data Feed Pricing

This data feed is priced at 35 USD per month for the first connection and 20 USD per month for additional connections (up to 3 connections). These prices are in addition to the cost of Sierra Chart which is separately paid for.

For each exchange that you require real-time data for, there is an exchange fee. Refer to the Supported Exchanges section for the required exchange fees for each exchange.

This is a separately paid for data feed and the fees are nonrefundable.

The data feed is paid for month-to-month and is based on calendar months. Therefore, when the data feed is activated, it starts on that date and continues until the last day of the month.

The amount billed for the data feed will be prorated if was activated after the first day. As long as there is a sufficient credit on your Services Balance, to pay for the next month, it will be automatically renewed if the Market data feed feature remains active on your account.

Exchange fees are not prorated. They are billed in full for the month activated in, even if activated on the last day of the month. This is why it generally does not make sense to activate a higher-priced exchange near the end of the month. It is best to wait until the next month. However, some exchanges have a one time free trial up to the end of the current month. Each exchange that offers a trial will have this indicated in the information for it in the table where it is activated. Therefore, if it is a higher-priced exchange fee it would make sense to not take advantage of the trial until the next month if currently near the end of the current month.

The data feed can be canceled at any time. If canceling the data feed before the end of the month, it will continue to be active until the last day of the month and will not renew.

The costs for the Sierra Chart Exchange Data Feed, are separate from Sierra Chart usage time. We do not earn any money on this data feed. It is provided at cost.

Therefore, you also need to Activate and Pay for a Sierra Chart Service Package which allows you to use Sierra Chart itself.

Up to 2 Week Trial for 5 USD

The Sierra Chart Exchange Data Feed offers a two-week trial for 5 USD. When activating this data feed, you will see the option for this trial.

This is a one time trial and has a maximum of two weeks. It always ends on the last day of the month the data feed trial was activated in. Therefore, it can be less than two weeks if activated near the end of the month.

Exchanges still need to be activated and paid for during a trial. Some exchanges offer a trial and some do not. The exchange trials are only up until the end of the current month.

Supported Exchanges

The following exchanges are currently available. After each exchange is the exchange fee price from the exchange itself. This does not include the cost of the data feed. For the cost of the data feed, refer to Data Feed Pricing.

Some exchanges have trials for the first month which means there will be no cost for that exchange during the month it was activated in. The following month will be billed at the normal price. To see if a trial is available, refer to the list of exchanges on the Sierra Chart Exchange Data Feed Features page.

  • Full CME Group (CME, CBOT, COMEX, NYMEX) with Market Depth for nonprofessional Trading accounts: Price 15.75 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: CME, GBLX, CBOT, CBOTM, COMEX, CXMI, NYMEX, NYMI

    Market Depth Included: Yes

  • Full CME Group (CME, CBOT, COMEX, NYMEX) for nonprofessional Trading accounts: Price 3.25 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: CME, GBLX, CBOT, CBOTM, COMEX, CXMI, NYMEX, NYMI

    Market Depth Included: No

  • CME with Market Depth for nonprofessional Trading accounts: Price 5.25 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: CME, GBLX

    Market Depth Included: Yes

  • CME, For professionals and users without a trading account: Price 94.5 USD/month.

    Symbols: CME, GBLX

    Market Depth Included: Yes

  • CME, Globex only (For users without a trading account): Price 42 USD/month.

    Symbols: GBLX

    Market Depth Included: Yes

  • CBOT with Market Depth for nonprofessional Trading accounts: Price 5.25 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: CBOT, CBOTM

    Market Depth Included: Yes

  • CBOT, For professionals and users without a trading account: Price 94.5 USD/month.

    Symbols: CBOT, CBOTM

    Market Depth Included: Yes

  • CBOT, mini-sized products only (For users without a trading account): Price 21 USD/month.

    Symbols: CBOTM

    Market Depth Included: Yes

  • COMEX with Market Depth for nonprofessional Trading accounts: Price 5.25 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: COMEX, CXMI

    Market Depth Included: Yes

  • COMEX, For professionals and users without a trading account: Price 94.5 USD/month.

    Symbols: COMEX, CXMI

    Market Depth Included: Yes

  • NYMEX with Market Depth for nonprofessional Trading accounts: Price 5.25 USD/month. Can only be used by Sierra Chart users with a trading account with one of the supported futures Trading Services.

    Symbols: NYMEX, NYMI

    Market Depth Included: Yes

  • NYMEX, For professionals and users without a trading account: Price 94.5 USD/month.

    Symbols: NYMEX, NYMI

    Market Depth Included: Yes

  • ICE USA: Price 115.5 USD/month.

    Symbols: ICEUS

    Market Depth Included: Yes

  • ICE Europe: Price 115.5 USD/month.

    Symbols: ICE, LCE

    Market Depth Included: Yes

  • Eurex: Price 15.75 USD/month.

    Symbols: EUREX

    Market Depth Included: No

  • Eurex with Market Depth: Price 21 USD/month.

    Symbols: EUREX

    Market Depth Included: Yes

  • Eurex Professional Feed: Price 57.75 USD/month.

    Symbols: EUREX

    Market Depth Included: No

  • Eurex Professional Feed, including Market Depth: Price 78.75 USD/month.

    Symbols: EUREX

    Market Depth Included: Yes

  • Euronext Futures Indices: Price 57.75 USD/month.

    Symbols: EUIDX

    Market Depth Included: Yes

  • Euronext Futures Commodities: Price 26.25 USD/month.

    Symbols: MATIF

    Market Depth Included: Yes

  • LIFFE Futures: Price 115.5 USD/month.

    Symbols: LIFFE

    Market Depth Included: Yes

  • S&P Indices: Price 3.25 USD/month.

    Symbols: S&P Indices

    Market Depth Included: No

  • Dow Jones Indices: Price 3.25 USD/month.

    Symbols: Dow Jones Indices

    Market Depth Included: No

  • CBOE Indices: Price 3.25 USD/month.

    Symbols: CBOE Indices

    Market Depth Included: Yes

  • NYSE Indices: Price 3.25 USD/month.

    Symbols: NYSE Indices

    Market Depth Included: No

  • NASDAQ Indices: Price 3.25 USD/month.

    Symbols: NASD Indices

    Market Depth Included: No

  • Russell Indices: Price 3.25 USD/month.

    Symbols: Russell Indices

    Market Depth Included: No

  • U.S. Equities (NYSE, NASDAQ, AMEX, BATS): Price 10.5 USD/month.

    Symbols: NYSE, NASD, AMEX

    Market Depth Included: No

  • CFE Futures: Price 15.75 USD/month.

    Symbols: CFE

    Market Depth Included: Yes

  • BATS (NYSE, NASDAQ): Price 4.25 USD/month.

    Symbols: NYSE, NASD

    Market Depth Included: No

  • TSX Equities: Price 36.75 USD/month.

    Symbols: TSX, TSXV

    Market Depth Included: No

  • Montreal Futures: Price 10.5 USD/month.

    Symbols: MNTRL

    Market Depth Included: Yes

  • BM&F Futures: Price 68.25 USD/month.

    Symbols: BMF

    Market Depth Included: No

  • BM&F Futures with Market Depth: Price 89.25 USD/month.

    Symbols: BMF

    Market Depth Included: Yes

  • Hong Kong Futures Exchange: Price 5.25 USD/month.

    Symbols: HKFE

    Market Depth Included: No

  • Hong Kong Futures Exchange with Market Depth: Price 12.75 USD/month.

    Symbols: HKFE

    Market Depth Included: Yes

What is Included

  • Streaming Real-Time Data: Yes.
  • Market Depth Data: For futures markets only. In the case of the CME, to receive market depth data, you need to activate an exchange fee which includes market depth data. If you activate the Full CME Group without market depth, then you will not receive market depth data for CME symbols within Sierra Chart.
  • Historical Intraday Data: Yes. From 1 Tick through 1 Minute increments. At least 5 Years of historical Intraday data is available for the provided markets. Tick by tick data is at least 3 years for Futures. Tick by tick data is at least 3 to 6 months for Equities and Indexes. Previous to this, historical data is in 1 minute increments.
  • Historical Daily Data: Yes. At least 20 years of Historical Daily data is available or since the inception of a particular market.
  • Historical BidVolume and AskVolume: Yes. 100% accurate for CME futures markets. Limited to 90 days for US equities.
  • Historical Futures Spread Data: Yes for the CME. This data begins September 2015.
  • Live Trading: Yes. Through any of the supported trading services.
  • Simulated Trading: Yes.
  • Order Types Supported: All.
  • Server Managed OCO (Order Cancels Order): Depends upon Trading service data feed is used with.
  • Automated Trading (applies to Live or Simulated): Yes.
  • Tick by tick unfiltered data feed.
  • Full unfiltered market depth data direct from the exchanges. Market depth data is not provided for US equities.
  • Low latency. Data servers are located in the Equinox Cermak Road Chicago data center.
  • Direct CME FIX data feed integration at our backend.
  • Our own high-performance hardware using Solid State Drives for rapid historical data delivery.
  • Seamless integration with the trading service you are using. There is no need to run a second copy of Sierra Chart or use any special settings.
  • Exchange traded spreads for CME markets are supported.
  • Uses DTC Protocol.
  • The service is provided in cooperation with Barchart Inc. Market data is delivered through Sierra Chart software and hardware technology and uses direct CME connectivity.

Symbol Limits

Currently the Sierra Chart Exchange Data Feed has a limit of receiving real-time data on up to 500 symbols concurrently. Although there is an additional charge to receive real-time data on more than 100 symbols concurrently.

If you require more real-time symbols than 500, let us know and we can create a custom price for you.

There are two categories of symbol limits. One for futures and indices and one for equities/stocks.

The paragraphs below explain symbol limits when using the standard 100 symbol limit.

If you have activated only futures and indices exchanges, then the symbol limit is 100 real-time symbols.

If you have activated only equities exchanges, then the real-time symbol limit is 100 real-time symbols.

If you have activated both equities exchanges and futures or indices exchanges, then the real-time symbol limit is 125 symbols and it works as follows: US equities have a limit of 90 real-time symbols and futures and indices have a limit of 35 real-time symbols for a total of 125.

Setup Instructions

Follow the step-by-step instructions below to activate the Sierra Chart market data feed for your account.

Notice: To receive the real-time CME Group futures data at the reduced exchange fees, requires that Sierra Chart is directly connected to one of the following supported futures Trading services in Sierra Chart and that you have a Live funded account with them: TransAct/Infinity, Interactive Brokers, Rithmic, CTS T4, TT (Trading Technologies) FIX, AMP/TTNet, TD Ameritrade, GAIN Capital (OEC Trader), or CQG. Otherwise, the charts will not update in real time. For additional information, refer to the Integration with Trading Services section on this page.

All of the other supported exchanges can be accessed with or without a trading account.

  1. Login to your account. You can login from within Sierra Chart, by selecting Help >> Account Control Panel.
  2. Add sufficient credit to the Services Balance on your account to cover the cost of the data feed for the current month. Refer to the image below. You also need to be sure it is topped up sufficiently before the beginning of the next month to cover the cost of the data feed for the next month. Otherwise, you will lose access to the market data feed service.
  3. Go to the Activate/Deactivate Exchange Data Feed Features and Exchanges page to activate and deactivate the market data features on your account.
  4. Set your Location and Futures Broker. It is not possible to proceed to activate a market data feed on your account until this step is completed.
    If you do not have a futures broker, then select "Do not have futures broker". In this particular case you will not be entitled to use the lower-priced CME Group exchange fees.
  5. Select the number of symbols that you require in the Real-Time Data Connections >> Set the number of real-time symbols per connection list. In most cases you will want to select the default of 100 Real-Time Symbols. If you will only be activating the cash indices exchanges like CBOE Indices, Dow Jones Indices, ..., then you can select 20 Real-Time Symbols (Indices Only). With this last option, you are limited to 20 symbols and you can only activate the * Indices exchanges.
  6. On the Exchange Data Feed Features page, go to the Real-Time Data Connections section. To activate the market data feed on your Sierra Chart account, press the Activate button in the row for the first Connection. Refer to the image below. When the real-time data connection is activated, the Ending Date will be set to the last day of the month.

    As long as market data feed feature is enabled on your account and there is a sufficient Services Balance on your account , at the beginning of each month, the Ending Date will be updated to the end of the current month.

    The billing for each month is prorated. Therefore, if you activate the market data feed anytime after the first day of the month, then the amount deducted from your Services Balance will be less than the full amount for the feature.

    Only one copy of Sierra Chart can directly receive the real-time data feed at a time. If you want to have a second or third copy of Sierra Chart receive this data feed at the same time, then activate a second or third real-time data connection.
  7. Complete and sign the market data agreement for each of the Real-time Data Connections you have activated. Once you have activated a Real-time Data Connection, you will see an Agreement needs to be signed link on the Exchange Data Feed Features page as shown in the image below. Click on that link. You may need to do this for each of the connections you have activated.

    If you will be activating the US Equities (NYSE/AMEX/NASDAQ) exchange, you must sign the agreement with the text (With US Equities Agreement).
  8. After you sign the market data agreement, you will need to refresh the Exchange Data Feed Features page.
  9. Activate the Exchanges that you want to receive streaming real-time data for. Otherwise, you will not receive real-time data for the symbols of the Exchange you do not activate.

    It is necessary to have a sufficient Services Balance on your account to cover the cost of the Exchanges. Be aware that Exchange fees are billed in full for a month, no matter what date within the month they are enabled in. For Exchanges that are not activated, you will only receive historical data for them.


    After clicking the Activate button and before the Exchange is actually activated, it is necessary to confirm the cost of the Exchange. You will see the following prompt. Press the Activate button to confirm and activate the Exchange.


    Some exchanges offer a trial for the first month they are activated in. This trial ends at the end of the month, so is not necessarily a full month. Refer to the image below.
  10. In the case of the US Equities exchange, it is necessary to complete the market data agreements again before activating the exchange if they were not already completed for US equities. Refer to the highlighted link in the image below. When you complete the agreements again at this point, the NASDAQ and NYSE agreements are included. It is important that if you are not a professional, that you do not state your occupation as a "trader" or an "investor". Otherwise, you will be considered a professional by the exchange and they will require substantially higher exchange fees. It is complicated to get this changed.
  11. Make sure you are on a current version of Sierra Chart. Update Sierra Chart by selecting Help >> Download Current Version. It is important be running a current version of Sierra Chart for proper access to this data feed.
  12. In Sierra Chart, select Global Settings >> Symbol Settings. Press the Update From Server button. Wait for the button to reenable and then press OK. There is not a need to use Full Reset and it is not recommended to do so. This step needs to only be done once.
  13. Select Global Settings >> Data/Trade Service Settings on the menu.
  14. Enable the Allow Support for Sierra Chart Data Feeds option. Refer to the image below.


    If at any time, you do not want to use the Sierra Chart Real-Time and Historical Exchange Data Feed, then uncheck Allow Support for Sierra Chart Data Feeds and reconnect to the data feed with File >> Disconnect and File >> Connect to Data Feed, to use your Trading service provided data feed.
  15. In the Service list box in Global Settings >> Data/Trade Service Settings, select one of the supported Trading services (identified by [trading] at the end), to have the market data feed integrated with the Trading service you are using.



    To access the market data feed independent of a trading account, you need to set the Service to SC Data - All Services. However, refer to the next paragraph below because this will not work with CME Group data.


    To access the CME, CBOT, NYMEX, COMEX real-time data when using one of the CME Group exchanges which have reduced exchange fees, you must select one of the Trading services that supports futures trading. There are several to choose from. Forex only services do not use this data feed. It is not possible to access CME Group data with the SC Data - All Services service due to exchange rules unless you pay the higher exchange fees for CME data. For additional information, refer to Integration with Trading Services section on this page.
  16. Press OK to close the Data/Trading Service Settings window.
  17. Select File >> Disconnect on the menu.
  18. To connect to the data and trade server, select File >> Connect to Data Feed. To receive real-time data you need to be successfully connected.
  19. When you activated the data feed at the beginning of these steps, it does take the server about 3 minutes to receive the updated authorizations. Therefore, make sure that amount of time has elapsed before connecting to the data feed.
  20. Open a chart or Trade DOM through File >> Find Symbol. Select one of the symbols supported by your Trading service. Press Open Historical Chart, Open Intraday Chart, or Open Trading DOM.

    The market data feed into the chart or Trade DOM will now be from the Sierra Chart Exchange Data Feed if you have enabled the exchange that the symbol trades on. Existing chart and Trade DOM windows that use symbols supported by your Trading service will be receiving this data feed as well if you have enabled the exchange that the symbol trades on.
  21. You will know that this data feed is being used when you see a [M] indicator after the Symbol on the top line of the chart or Trade DOM. Refer to the image below.
  22. If you do not see a [M] indicator after some symbols and you have activated the exchange the symbols are on or the exchange is included, like the CME, then symbol mapping may need to be set up by Sierra Chart support. In this case, contact Sierra Chart support and let us know what specific symbols you do not see this indicator for.
  23. You may want to re-download the data in your charts to get the best quality of data into the charts. You can do that by going to the chart and selecting Edit >> Delete All Data and Download. You only need to do this once for each symbol and chart type (Historical or Intraday). You should only do this for charts that have a [M] after the symbol, since those are the ones that are using this new data feed.

The service is provided in cooperation with Barchart Inc. Market data is delivered through Sierra Chart software and hardware technology and uses direct CME connectivity.

Understanding Sierra Chart Exchange Data Feed Costs and Automatic Renewal

There are 2 components to the costs for the Sierra Chart Exchange Data Feed.

  1. The market data feed itself which is prorated based upon when the data feed is activated within the month. Therefore, if you activate the market data feed within the middle of the month, then the cost will be 50% of the standard cost for the market data feed.
  2. The exchange fees. These are billed in full each month no matter when they are activated. If you activated exchange on the last day of the month, you will be billed in full for it. Therefore, if the exchange fee is 94.5 USD and you activated it on the last day of the month, you will be billed 94.50 on that last day of the month and the next day when the new month begins, if the exchange is activated on your account, you will be billed 94.5 USD again. Be sure to keep this in mind before activating an exchange near the end of the month that has a high price.

Right at the end of the current month, any of the data feed options that you have activated, will be automatically renewed as long as your Services Balance is high enough to cover all of the data feed options you have activated on your account. So you will be billed in full for the market data feed and exchange fees for that month.

If the Services Balance on your account is not high enough to cover these costs, then all of the data feed options will be canceled and your data feed will be deactivated just before the beginning of the next month. In this case you just need to add additional funds to your Services Balance and activate the market data feed options you had previously. So there is no harm if this happens.

In the case of when the data feed has been deactivated at the end of the current month, and you no longer need it, Sierra Chart will automatically receive the updated settings as long as you are running a current version. Although you may have to restart Sierra Chart to prevent Sierra Chart from trying to use the Sierra Chart Exchange Data Feed which it will not be able to access. Otherwise, this will prevent the real-time data from being used from your Trading service if you are using a supported Trading service.

Near the end of each month, if you have any data feed options for the Sierra Chart Exchange Data Feed set to automatically renew, including exchanges, and there is an insufficient balance on your Sierra Chart account, you will be notified by email and also through a notification message when you start Sierra Chart, indicating the amount of money that needs to be added to your Services Balance to cover those services for the next month.

To add additional money to your account, go to the Additional Services Payment page.

Sierra Chart Usage Time is Separate from Exchange Data Feed Costs

The costs for the Sierra Chart Exchange Data Feed, are separate from Sierra Chart usage time. We do not earn any money on this data feed. It is provided at cost.

Therefore, you also need to Activate and Pay for a Sierra Chart Service Package which allows you to use Sierra Chart itself.

Integration with Trading Services

This data feed is fully and seamlessly integrated with all supported Trading services:

  • TransAct/Infinity Live account
  • Interactive Brokers Live account. (You only need to connect once to your Live account initially and once every month. The other times you can connect to your IB paper trading account.)
  • Rithmic Live account
  • CTS T4 Live account
  • TT FIX Live account
  • AMP/TTNet Live account
  • TD Ameritrade Live account. Must be funded with at least 500 USD.
  • GAIN Capital (OEC Trader) Live account.
  • CQG Live account

This seamless integration means that when you activate the Sierra Chart Exchange Data Feed on your Sierra Chart account, the charts and Trade DOM windows will receive this data feed for any symbol that this data feed provides data for, if you have activated the exchange the symbol trades on. Therefore, when using your Trading account with Sierra Chart, the market data will come from the Sierra Chart Exchange Data Feed!

In the case of receiving CME data, the below instructions are a mandatory step to connect to your Trading account service to receive data at the reduced exchange fee.

Follow the instructions below for this trading integration:

  1. Make sure your Sierra Chart account has the exchanges you require activated. Go to the Exchanges section. To be able to activate exchanges you also need to have activated the Sierra Chart Exchange Data Feed real-time data connection on your account. For complete instructions, refer to the Setup Instructions.
  2. Within Sierra Chart, select Global Settings >> Data/Trade Service Settings on the menu.
  3. Set the Service setting to the Trading service that you are using. It can be one of the supported Trading services. For complete set up instructions for each service, refer to Data and Trading Services.
  4. To use the Sierra Chart Exchange Data Feed with your trading service, enable the Allow Support for Sierra Chart Data Feeds option.
  5. Press OK.
  6. Reconnect to the data feed with File >> Disconnect and File >> Connect To Data Feed commands on the menu.
  7. There is no other special configuration required and no need to use a separate copy of Sierra Chart on your system. The symbols you will use to receive market data are the same symbols that your Trading service uses (File >> Find Symbol).

    For proper data feed mapping it is necessary to use the symbols you see listed in the Find Symbol window for the connected Trading service. There is automatic internal mapping to the Sierra Chart Exchange Data Feed. You might need to restart Sierra Chart after activation of this data feed or after activating an exchange.

    To change symbols of existing charts which need to use the symbols used by the connected Trading service, refer to Changing the Symbol of a Chart.
  8. You will know that this data feed is being used when you see a [M] indicator after the Symbol on the top line of the chart or Trade DOM.
  9. If you do not see the [M] indicator, then follow the instructions to Update the Symbol Settings. Also be aware to receive CME data at reduced exchange fees, you must be connected to a live funded trading account.
  10. For symbols which are not supported by the Sierra Chart Exchange Data Feed, they will continue to receive data from the Trading service you are connected to.
  11. If you pay separately to your Trading service for market data, you can unsubscribe from that market data you are now receiving through the Sierra Chart Exchange Data Feed.

Connecting Only Once a Month to Trading Account to Support CME Group Exchange Fees

If you want to take advantage of the lower-priced CME Group exchange fees but still set the Global Settings >> Data/Trade Service Settings >> Service in Sierra Chart to SC Data - All Services, then once a month connect Sierra Chart to your trading account just for a few seconds and then change the Service back to SC Data - All Services.

You will then be able to receive the real-time CME data for the remainder of the calendar month.

Follow the instructions below to do this.

  1. Select File >> Disconnect.
  2. Select Global Settings >> Data/Trade Service Settings.
  3. Set the Service setting to your Trading service. Refer to the Supported Data and Trading Services section for links to complete instructions for connecting to each of the supported Trading services.
  4. Press OK.
  5. Select File >> Connect to Data Feed. It is normal due to symbol differences that the charts will show a Symbol is Unknown message.
  6. Once connected for about 10 seconds, then select Global Settings >> Data/Trade Service Settings.
  7. Set the Service back to SC Data - All Services.
  8. Press OK.
  9. You will now be able to receive the real-time CME data.

Connections

Each running copy of Sierra Chart uses a separate connection to the Sierra Chart Real-Time and Historical Exchange Data Feed. Additional copies of Sierra Chart, whether running on the same system or another system, require a separate connection which currently is 20 USD per month for each additional connection. Up to three connections are possible.

When more than one instance/copy of Sierra Chart is trying to connect to the Sierra Chart Exchange Data Feed at the same time and the number of connections has exceeded the number of connections you have paid for, Sierra Chart will not be able to connect and you will see this message in the Sierra Chart Message Log: Limited to one connection per username for the requested data source..

To activate additional real-time data connections, go to the Exchange Data Feed Features Real-Time Data Connections section.

After activating an additional real-time data connection on your Sierra Chart account you might need to restart Sierra Chart for it to get the updated settings for this connection.

If you have paid for only one real-time connection to the Sierra Chart Exchange Data Feed, additional instances/copies of Sierra Chart which you also want to use the Sierra Chart Exchange Data Feed with, will only be able to connect to the Sierra Chart Exchange Data Feed if you have paid for additional connections (20 USD per month per additional real-time connection). So you will need to pay for additional connections as you require.

There is one exception to what is described above. Stock data from the Sierra Chart Exchange Data Feed uses a different network connection compared to Futures and Index data. This is done for performance reasons. Therefore, it is possible to receive Futures and Index data from the Sierra Chart Exchange Data Feed in one instance of Sierra Chart and Stock data also from the Sierra Chart Exchange Data Feed using another instance of Sierra Chart.

To use the data feed provided by your Trading service and not the Sierra Chart Exchange Data Feed, you need to uncheck Global Settings >> Data/Trade Service Settings >> Allow Support for Sierra Chart Data Feeds.

After changing the Allow Support for Sierra Chart Data Feeds setting, reconnect to the data feed with the File >> Disconnect and File >> Connect To Data Feed commands on the menu.

There is also the Using DTC Server for Data and Trading in Another Sierra Chart Instance feature.

Restarting Sierra Chart for Updated Settings

In the case of there are any changes to the Sierra Chart Exchange Data Feed for your account, which include activation or deactivation of Real-time data connections or Exchanges, Sierra Chart will automatically detect these account changes within about 3 minutes. However, it might be necessary to restart Sierra Chart to receive the updated settings.

Otherwise, Sierra Chart will not be aware of those changes, and that will cause a problem with being able to use the data feed. Or, the data feed may be used when it has been canceled at the end of the month and the charts which have previously received this data feed will not update in real time until Sierra Chart is restarted.

Automatic or Manual Deactivation of Data Feed

If there are insufficient funds to automatically renew the Sierra Chart Exchange Data Feed on your account at the beginning of the new month, then it will be automatically deactivated.

You can manually deactivate the data feed at any time and prevent further billing, by going to the Exchange Data Feed Features page.

There will be Deactivate buttons beside the Real-time data connections and Exchanges to deactivate those.

Notes

This section provides various notes related to the Sierra Chart Real-Time and Historical Exchange Data Feed when you have activated it on your Sierra Chart account.

  • When you are not connected to your trading account, and you open a chart, historical data will be downloaded for the symbol into the chart with a 10-15 minute delay unless you pay an exchange fee for the exchange the symbol is on, in which case there will be no delay. The only exception is CME data which will still have a 10 to 15 minute delay if you do not pay the higher CME exchange fees.

    This is a very good feature because if you cannot connect to your Trading service server over the weekend which is common, you will still be able to get up-to-date historical data.
  • After discontinuing use of this service, any historical data that has already been downloaded will still remain and you will be able to use it at any later time.
  • Once Sierra Chart gets a successful connection to your Trading service, then the charts will receive historical data to the current time and begin receiving real-time data.
  • If you are using the Interactive Brokers trading service, it is only necessary to connect initially and once each month to your Live Interactive Brokers trading account to be able to receive the Sierra Chart Exchange Data Feed, even when connected to your Interactive Brokers paper trading account.
  • The Sierra Chart Real-Time and Historical Exchange Data Feed provides more than one server. If you are ever not receiving data from a particular server for whatever reason (should be a very unlikely case), reconnect with File >> Disconnect and File >> Connect to Data Feed to jump to the other server. The servers are accessed in sequence. This is the same with historical data downloads, for every download, each download goes to the next server.
  • When Sierra Chart is set to use the SC Data - All Services Service in Global Settings >> Data/Trade Service Settings and you have activated the Sierra Chart Exchange Data Feed on your Sierra Chart account, then you will be able to receive historical data for any symbol even if you do not pay the exchange fee for the exchange that the symbol is on. However, you will not receive streaming real-time data for the symbol or delayed streaming data if the exchange fee has not been paid for the exchange the symbol is on.

Understanding Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges

Like most exchanges, the CME, CBOT, NYMEX, COMEX, which are part of the CME Group, charge fees for accessing their real-time market data. There are no fees for delayed historical data.

The exchange fees range from 3.25 USD to 15.75 USD per month for real-time data if you have a funded trading account and are using the data feed from a program like Sierra Chart which supports trading.

If you do not have a funded trading account, the fees for accessing real-time data from any one of these exchanges is 94.50 USD per month. For all four exchanges the total price is 378 USD per month. This is a significantly higher cost.

Therefore, you can see it is very advantageous cost wise to have a funded trading account to take advantage of the reduced exchange fees.

Therefore, to access the CME, CBOT, NYMEX, COMEX real-time data from the Sierra Chart Exchange Data Feed at reduced fees, it is necessary to set the Global Settings >> Data/Trade Service Settings >> Service in Sierra Chart to use one of the supported Trading services. So not only is it necessary to have a funded futures trading account, it is necessary that it is with one of the supported Trading services. For the list of supported Trading services and for instructions, refer to the Integration with Trading Services section. Otherwise, the real-time CME data is not accessible unless you pay the higher exchange fees.

Since all of the supported Trading services Sierra Chart works with, provide market data, you may then ask what is the point of using the Sierra Chart Exchange Data Feed for futures? The answer is, many of our users do not use this data feed. The reason this data feed is used, is for users who require the best quality and most reliable data because in many of the cases the data feed provided by Trading services is not of the same quality that this data feed provides.

For example, if you use Interactive Brokers, good chance you will have significant market data reliability and completeness problems. Therefore, this data feed is almost essential unless you are fine with getting frustrated by market data problems from your broker.

Therefore, in summary, if you do not have an account with a Trading Service that Sierra Chart supports, you cannot access streaming real-time data for the CME, CBOT, NYMEX, COMEX exchanges unless you pay the substantially higher exchange fees.

If you require only historical data for CME, CBOT, NYMEX, COMEX, then use the Sierra Chart Historical Data Service instead.

So you might ask, how would one begin to practice trading futures using live futures data before you have a trading account? In this case contact one of the supported Trading Services and have them set you up with a demo account. Another possibility is to refer to the Alternative to Futures Data section.

Possible Solution for Nonsupported Trading Account

In the case where you are not using a supported Trading service with Sierra Chart but have a trading account and want to take advantage of the lower-priced CME exchange fees, then use IQ Feed if you have a trading account with one of their approved/cooperative brokers.

Sierra Chart uses a technical method to verify user has a trading account in order to greatly lower administrative costs and keep the price of the data feed low. But this has the disadvantage of excluding those users from taking advantage of the lower-priced CME exchange fee who have trading accounts with services that Sierra Chart is not integrated with.

IQ Feed uses a manual method of verification that you have a trading account and can still offer you the lower-priced exchange fees assuming you are using one of their cooperative brokers.

However, keep in mind that IQ feed is a more expensive data feed. So there is not necessarily a benefit to this.

Adding Support for CME Market Depth Data

If you have activated the Full CME Group (CME, CBOT, COMEX, NYMEX) for nonprofessional Trading accounts exchange which does not include market depth data and later in the month require market depth data, then it is necessary to do the following:

  1. Go to the Activate/Deactivate Exchanges page.
  2. Deactivate the Full CME Group (CME, CBOT, COMEX, NYMEX) for nonprofessional Trading accounts exchange. This exchange will still be active until the end of the month.
  3. The Full CME Group (CME, CBOT, COMEX, NYMEX) with Market Depth for nonprofessional Trading accounts will now be visible.
  4. Activate Full CME Group (CME, CBOT, COMEX, NYMEX) with Market Depth for nonprofessional Trading accounts. You will be liable to pay the full exchange fee no matter when it is activated within the month. For the current exchange fee, refer to Supported Exchanges.

Viewing Activated Data Feed Features within Message Log

The real-time data connections and exchanges you have activated for the Sierra Chart Exchange Data Feed are referred to as data feed features on your account.

Within the Sierra Chart Window >> Message Log, you can view what data feed features you have activated.

After changing any of the data feed features through the Sierra Chart Exchange Data Feed Features page, Sierra Chart will automatically receive the updated settings but you will not see them in the Message Log until you press the Clear Log button on the Message Log window.

Open the Message Log through Window >> Message Log. Go to the top of the Message Log.

You will see the data feed features listed there at the top. Here is an example:


Enabled for: Sierra Chart Real-Time Exchange Data Feed.
Enabled for: CME, CBOT, NYMEX, COMEX exchanges for trading accounts.
Enabled for: US EQUITIES exchanges.
Received 1 data feed usernames.
Allow Support for Sierra Chart Data Feeds is enabled.

Cash Indexes

The Sierra Chart Exchange Data Feed provides historical and real-time data for various cash indexes from US exchanges.

The supported cash index symbols can be found in File >> Find Symbol >> Indexes (Real-time) when using the SC Data - All Services service and other supported Trading services. These index symbols begin with a $.

All users which are on a Sierra Chart Service Package which includes unrestricted access to the Sierra Chart Historical Data Service, can get a Historical Daily bar chart for the cash indexes, just by opening the Historical Daily bar chart for the symbol.

All users which are on a Sierra Chart Service Package which includes unrestricted access to the Sierra Chart Historical Data Service can get a Intraday chart for the cash indexes which does not update in real time by setting the Service in Sierra Chart to SC Data - All Services. For instructions, refer to Sierra Chart Historical Data Service.

For a real-time updating Intraday cash index chart, it is necessary to subscribe to the Sierra Chart Exchange Data Feed and activate the exchange the cash index originates from. For instructions, refer to Setup Instructions.

You can determine the exchange by looking at the end of the description for the cash index symbol in the File >> Find Symbol window. You will see the particular exchange that needs to be activated. Refer to the image below.



How to Access Cash Index Market Data

For all of the supported Trading services and Sierra Chart provided Data services, in File >> Find Symbol, there is an Indexes (Real-time) section which lists various cash market indexes.

Follow the instructions below to receive market data for these indexes.

Non-Real-time Updating Cash Index Symbol Charts

To get Historical Daily and Intraday charts for cash index symbols which do not update in real time, requires that your Sierra Chart Service Package includes the Sierra Chart Historical Data Service. You can determine your service package through Help >> Account Control Panel.

You can open Historical Daily charts for the listed cash index symbols through File >> Find Symbol.

To open Intraday charts for the listed cash index symbols, requires that you set Sierra Chart to use the Sierra Chart Historical Data Service (SC Data - All Services). For instructions, refer to Sierra Chart Historical Data Service. The Sierra Chart Historical Data Service page explains how to install another copy of Sierra Chart for this.

If you are using Sierra Chart provided by TransAct, then you will not be able to access Intraday charts for cash index symbols unless you have a Direct Account.

Real-Time Updating Cash Index Symbol Charts

To get both Historical Daily and Intraday charts for cash index symbols which do update in real time, requires that you have a Sierra Chart account.

And you need to activate the Sierra Chart Real-time and Historical Exchange Data Feed for your account and activate the particular exchanges you require which provide real-time cash index data. There is an additional monthly cost for the data feed and the exchange fees. All of this is documented on this page. Go to the Setup Instructions section for instructions.

In the case of where you only require cash index data, the cost of the Sierra Chart Exchange Data Feed is 15 USD per month plus exchange fees instead of the standard price. In the option to choose the number of symbols on the Market Data Feed Features page, you need to select 20 Real-Time symbols (Indices Only) to get the lower price. Refer to the image below.

Using Cash Index Symbols Direct from Data/Trading Service

For some Data/Trading Services like Interactive Brokers, they provide their own cash index symbols.

If you want to use the symbols provided by the service you are using, then you need to locate them through File >> Find Symbol. In the case of Interactive Brokers they will be listed in File >> Find Symbol >> IB Indexes.

Stock Symbols

When you have activated a stock exchange like US Equities or BATS Exchange, you will not see the symbols listed in File >> Find Symbol. They need to be manually entered.

To manually enter a symbol, select File >> Find Symbol and type the symbol into the Selected Symbol box and press either Open Historical Chart or Open Intraday Chart.

Stock symbol need to be entered as they are listed on the Sierra Chart Real-time and Historical Exchange Data Feed Symbols Stock Symbols page.

When using the BATS exchange, add .BZ to the end of the symbol. Example: AA.BZ. NASDAQ and NYSE symbols are supported with the BATS Exchange.

The following Services in Sierra Chart selected through Global Settings >> Data/Trade Service Settings >> Service, support using the US Equities or BATS exchange symbols when you have activated one of these exchanges on your account. This provides seamless integration of the Sierra Chart Exchange Data Feed with any of these services:

  • CQG FIX Trading
  • CQG Web API
  • CTS T4 FIX
  • FXCM FIX Trading
  • SC Forex Data
  • Interactive Brokers
  • GAIN Capital (OEC Trader)
  • Rithmic Trading
  • SC Data - All Services
  • TransAct Trading
  • TD Ameritrade
  • (TT) Trading Technologies FIX

Stock Index Premiums

The Sierra Chart Exchange Data Feed provides stock index premium symbols. These symbols calculate the difference between the futures price and the cash index price.

To receive data for these premiums, it is necessary to activate and pay for the Sierra Chart Exchange Data Feed. Refer to the Introduction section on this page for more information.

In addition, you need to activate the particular futures exchange as well as the cash indices exchange for the symbols the calculations are done from.

Refer to the image below.

For example, to get data for ESM15-$INX you need to subscribe to the CME Group (assuming you have a supported trading account) and S&P Indices exchanges.

Exchange Traded Spreads

The Sierra Chart Exchange Data Feed supports Historical and Real-time data for the CME and ICE futures spread and strategy contracts. Follow the instructions below to get data for and chart exchange traded futures spreads and strategies.

Historical data support for CME exchange traded spreads begins in September 2015. Historical data for ICE exchange traded spreads begins in March 2016. If you require more historical data, this can be done on request, as long as the number of contracts it needs to be done for is not a large list.

  1. An up-to-date version of Sierra Chart is required for proper support for exchange traded spread symbols. To update, refer to Fast Update.
  2. Select Global Settings >> Data/Trade Service Settings.
  3. The Service needs to be set to SC Data - All Services or any of the other Futures trading services.
  4. It is necessary and required for you to have activated the Sierra Chart Exchange Data Feed on your Sierra Chart. Therefore, this documentation here assumes that you have followed through the *Setup Instructions* already and have enabled Allow Support for Sierra Chart Data Feeds. To use this feature to access futures spread/strategy symbols, does not require that you activate any exchanges but you do have to activate the Sierra Chart Exchange Data Feed on your Sierra Chart account.
  5. Press OK to close the Data/Trade Service Settings window.
  6. Select File >> Find Symbol on the menu.
  7. In the list of categories locate the Futures Spreads - CME (SC Exchange Data) category for CME spreads/strategies or the Futures Spreads - ICE (SC Exchange Data) category for ICE spreads/strategies, and press the + to expand that list.
  8. You will see various underlying futures markets listed. Select the one you want to get spread symbols for. For example, select CL~.FUT_SPREAD.NYMEX for CME crude oil futures spreads and strategies.
  9. Press the Get Spreads button. The spread contracts will be requested, and be listed within 5 seconds or less typically.
  10. Refer to the image below for a graphical representation of the steps here.
  11. Among the listed spreads symbols, select the one that you require and press the Open Intraday Chart or Open Historical Chart button.

Determining Problem of Data Feed Not Being Received through Message Log Analysis

If the Sierra Chart Exchange Data Feed is not providing data for a particular symbol, follow the procedure below to determine the source of this problem by analyzing the Message Log. To open the Message Log, select Window >> Show/Hide Message Log. This is the very same procedure that Sierra Chart Support uses.

  1. At the top of the Message Log there needs to be the following line:
    Enabled for: Sierra Chart Real-Time Exchange Data Feed.
    If this line does not exist, then activate a Real-time Data Connection.
  2. At the top of the Message Log, there needs to be a line indicating the particular exchange the symbol trades on, is enabled. Example:
    Enabled for: CBOT (Trading Account Required)
    If this line does not exist, then activate the exchange.
  3. At the top of the Message Log, there needs to be a line like the following:
    Received 1 data feed usernames.
    If this line does not exist, then contact Sierra Chart Support.
  4. At the top of the Message Log, there needs to be this line indicating Allow Support for Sierra Chart Data Feeds is enabled:
    Allow Support for Sierra Chart Data Feeds is enabled.
    If this option is not enabled, then enable Global Settings >> Data/Trade Service Settings >> Allow Support for Sierra Chart Data Feeds.
  5. If there is a line like this in the Message Log, best to search from the bottom up, then activate an additional real-time data connection on the Exchange Data Feed Features page:
    SC Exchange Data - Limited to one connection per username for the requested data source.
  6. If there is a line like this in the Message Log, best to search for the bottom up, then update Sierra Chart to the current version by following the Fast Update instructions:
    SC Exchange Data - Logon error from server : Unsupported client protocol version number.
  7. If this message is in the Message Log, then you need to connect to your live trading account. For instructions, refer to Integration with Trading Services :
    NOTICE: Not connected to Live trading account to receive CME real-time futures data.
  8. If you do not see a line like the following for the particular symbol in the Message Log, then Sierra Chart is not receiving data for it from the Sierra Chart Exchange Data Feed. In this case follow the instructions to Update the Symbol Settings. And make sure that Global Settings >> Data/Trade Service Settings >> Allow Support for Sierra Chart Data Feeds is enabled. This setting must be enabled in any running instance of Sierra Chart you want to use the Sierra Chart Exchange Data Feed in.
    Mapping GCZ5 to GCZ15. Service code: comex
  9. If you do see a line like the following in the Message Log for the particular symbol, then this indicates the Symbol Settings are not found. Follow the instructions to Update the Symbol Settings.
    SC Data - All Services | Subscribing to streaming market data in the service client is not supported. Symbol: SPY

Low Bandwidth Option

The Sierra Chart Exchange Data feed has a low bandwidth option which can be enabled through Global Settings >> Data/Trade Service Settings >> SC Server Settings. The option is named Use Low Bandwidth for DTC Real-time Data.

Normally this should be disabled. But it is useful for Internet connections which have limited bandwidth which can eliminate a lagging data feed.

When it is enabled it does the following:

  • Market depth data is rejected and not provided.
  • Bid and Ask updates are only sent out when there is a change of the Bid or Ask prices and not the size/quantities.
  • There is no effect for trades. Those are transmitted normally.

*Last modified Wednesday, 07th December, 2016.