Support Board
Date/Time: Thu, 24 Sep 2026 17:11:34 +0000
BidVolume/AskVolume field - does the non-Market-Depth Full CME Group data tier include it?
View Count: 272
| [2026-08-09 22:47:00] |
| chahreddine - Posts: 4 |
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Hello, I'm on a free trial evaluating a paid Integrated Service Package + Denali Exchange Data Feed (Full CME Group) subscription for a research project. I need historical intraday tick data with the trade aggressor classification (the BidVolume/AskVolume fields per trade, as seen in the Intraday Data Export) for the following products: ES, YM, MES, RTY, NKD (CME/CBOT), GC, SI, HG, PL, PA (COMEX), CL, RB, HO, NG (NYMEX), and the CBOT grains (ZC, ZS, ZW, KE, ZM, ZL, ZO, ZR). I already confirmed on the free trial (YM, several historical contracts back to Feb 2012) that BidVolume/AskVolume is present and clean. Before subscribing, could someone confirm: 1. Does the "Full CME Group" Denali feed WITHOUT Market Depth (the lower-cost non-professional tier) provide the BidVolume/AskVolume classification per trade, or is the Market Depth tier required for this field? 2. For the products listed above, is there a common start date for clean intraday tick history with BidVolume/AskVolume populated, or does it vary by product/exchange? I'm aware MES only launched in May 2019 -- are there similar considerations for any of the others? 3. Are there any known gaps or data quality issues in this history between 2012 and today for any of these products? Thank you for your help -- this will determine which data feed tier I subscribe to. |
| [2026-08-11 14:33:35] |
| Sierra_Chart Engineering - Posts: 24961 |
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1. Does the "Full CME Group" Denali feed WITHOUT Market Depth (the lower-cost non-professional tier) provide the BidVolume/AskVolume classification per trade, or is the Market Depth tier required for this field? For Sierra Chart pricing, refer to this page: Description of Service Packages and Pricing 2. For the products listed above, is there a common start date for clean intraday tick history with BidVolume/AskVolume populated, or does it vary by product/exchange? I'm aware MES only launched in May 2019 -- are there similar considerations for any of the others? No there is no common start date and we cannot give you a start date for each of these. That is too involved.3. Are there any known gaps or data quality issues in this history between 2012 and today for any of these products? Not sure about data quality before 2014. After that we cannot say the data is 100% perfect 100% of the time. The data is generally good. Certainly the Ask Volume and Bid Volume will be accurate.
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: 2026-08-11 19:59:18
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| [2026-08-11 15:37:08] |
| chahreddine - Posts: 4 |
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Follow-up: clarifying exactly which Service Package I need for historical-only downloads (no real-time trading) Thank you — that answer was very helpful, and it changes my understanding significantly. Could I ask three short follow-up questions to make sure I subscribe to the correct package the first time? To be clear about my use case: I only need to DOWNLOAD HISTORICAL intraday tick data for research and export it to text files. I do not need real-time streaming, I will not be trading through Sierra Chart, and I have no live trading account. 1. **Symbol access.** During the free trial I can only download YM and MES; every other symbol returns "Symbol not allowed" (GC, SI, HG, ES, CL, NG, ZC, RTY, NKD, etc.). Would Service Package 3 alone unlock full historical downloads for all of those CME/CBOT/COMEX/NYMEX symbols, with no Denali exchange subscription and no live funded trading account required? I want to be sure your answer about "no exchange fee for historical data" also covers the symbol permissions themselves, and not only the fee. 2. **Top of book in historical records.** Separately from full Market Depth: do the historical intraday records include the best bid and best ask prices (and their sizes) at the time of each trade — the top-of-book fields, not the full depth ladder? If yes, is that also included in Service Package 3, or does it require a higher package? 3. **Historical depth of download.** With Service Package 3, when I open an expired contract (for example GCZ22-COMEX), will Sierra Chart download that contract's complete history, or is the downloadable history limited in some way on the lower packages? Apologies for the follow-up — I simply want to avoid subscribing to the wrong tier. Thank you again for your time. |
| [2026-08-11 20:01:04] |
| Sierra_Chart Engineering - Posts: 24961 |
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Yes: Would Service Package 3 alone unlock full historical downloads for all of those CME/CBOT/COMEX/NYMEX symbols, with no Denali exchange subscription and no live funded trading account required?
do the historical intraday records include the best bid and best ask prices (and their sizes) at the time of each trade Yes Service Package 3 will give you access to this.3. You will get the full history. 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: 2026-08-11 20:02:11
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