Support Board
Date/Time: Fri, 15 May 2026 17:01:24 +0000
Seeking clarification on LMAX historical data granularity and real-time feed mapping
View Count: 245
| [2026-03-29 06:20:46] |
| User856649 - Posts: 10 |
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I am seeking clarification on two specific points in the Sierra Chart LMAX documentation (LMAX Trading Service). **1. Historical Intraday data granularity** On the LMAX page, one part says: > "Complete and detailed market data is provided along with 20 levels of market depth. This includes real-time streaming data, detailed tick by tick historical Intraday data, and Historical Daily data." But another part says: > "Historical Intraday Data: Yes. 1 Second minimum increment. Data available back to March 2013 for most symbols." These two statements appear inconsistent. I would like Sierra Chart to clarify: * Is the historical intraday data for LMAX in Sierra Chart true tick-by-tick historical data? * Or is it fundamentally 1-second aggregated / sliced historical data? * If both statements are intended to be correct, what exactly does "tick by tick historical Intraday data" mean in this context? **2. Exact LMAX real-time data mapping inside Sierra Chart** The page also says: > "Streaming Real-Time Data: Yes." However, this is too vague for technical use. I'd like to ask what exact LMAX real-time data tier Sierra Chart maps to, and what effective update granularity is actually delivered into Sierra Chart. Please clarify: * Which LMAX real-time market data product / level does Sierra Chart actually use? Is the Sierra Chart LMAX real-time feed equivalent to LMAX Level 1, Level 2, Level 3, ITCH, or something else? (https://www.lmax.com/global/market-data-access) * What is the actual effective update frequency delivered into Sierra Chart? * Is Sierra Chart receiving every underlying LMAX update, or is the data throttled, sliced, sampled, or consolidated before it reaches Sierra Chart? * If it is not event-by-event, what is the effective update interval? This matters because "real-time data available" is not the same as event-by-event market data. Thanks. |
| [2026-03-31 17:24:18] |
| Sierra_Chart Engineering - Posts: 23782 |
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This is the correct information: Historical Intraday Data: Yes. Tick by tick. Data older than 1 year, is in 2 second increments. Data available back to March 2013 for most symbols.
Regarding all of this: I'd like to ask what exact LMAX real-time data tier Sierra Chart maps to, and what effective update granularity is actually delivered into Sierra Chart. Please clarify: * Which LMAX real-time market data product / level does Sierra Chart actually use? Is the Sierra Chart LMAX real-time feed equivalent to LMAX Level 1, Level 2, Level 3, ITCH, or something else? (https://www.lmax.com/global/market-data-access) * What is the actual effective update frequency delivered into Sierra Chart? * Is Sierra Chart receiving every underlying LMAX update, or is the data throttled, sliced, sampled, or consolidated before it reaches Sierra Chart? * If it is not event-by-event, what is the effective update interval? This matters because "real-time data available" is not the same as event-by-event market data. When you are using a live LMAX trading account with Sierra Chart, our understanding is the LMAX data feed we get from LMAX and provided in that case, is the full tick by tick data feed and no data is dropped. It is complete. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-03-31 17:24:55
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