Support Board
Date/Time: Wed, 18 Mar 2026 09:53:00 +0000
Inquiry regarding Denali Exchange Data Feed for US Equity Options (QQQ, SPY) and Index Opt
View Count: 344
| [2026-01-31 14:56:00] |
| User871410 - Posts: 4 |
|
Dear Sierra Chart Support Team, I am a user of Sierra Chart and I am planning to implement advanced options flow analytics (GEX, DEX, and Convexity/Vanna flow) within the platform using ACSIL. I have a few specific questions regarding the Denali Exchange Data Feed capabilities: 1- US Equity Options (OPRA): Does the Denali Exchange Data Feed currently provide real-time and historical tick-by-tick data for US Equity Options (the OPRA feed), specifically for high-volume ETFs like QQQ and SPY? If not, do you recommend a specific third-party integration (like IQFeed or dxFeed) for this purpose? 2- CBOE Index Options: I noticed the transition to CBOE Global Indices. Does Denali provide real-time and historical data for cash index options such as SPX and NDX? 3- Raw Data for Greek Calculations: To calculate Gamma Exposure (GEX) and Delta Exposure (DEX) across the entire option chain, I need raw data including Open Interest, Volume, and Implied Volatility for all strikes/expirations. Does the Denali feed provide this raw data for the symbols mentioned above? 4- Service Package: Which Service Package (e.g., Package 11 or 12) is required to access the full un-filtered options data for the purpose of large-scale Greeks aggregation? Thank you for your assistance and for providing such a high-performance platform. Best Regards, |
| [2026-02-02 15:51:55] |
| John - SC Support - Posts: 45158 |
|
1. Our U.S. Equities Consolidated Tape and the NASDAQ TotalView do not have Options data. The only options you would have to get this data into Sierra Chart is IQFeed and Interactive Brokers. You would need to check with each of them to see if they have the data you are wanting. 2. SPX is part of the CBOE Global Indices. We do not have data for NDX. 3. See #1 above. 4. Any of the "Integrated" packages can give you what you want, as it is about the data and not the package. But you do need to be on an integrated package in order to connect to data and trading services. Refer to the information on the packages at the following link: Description of Service Packages and Pricing For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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