Support Board
Date/Time: Mon, 31 Aug 2026 03:58:54 +0000
Package 3 historical MNQ tick data: entitlement, expired contract months, volume conservation
View Count: 43
| [2026-08-30 12:46:21] |
| User172255 - Posts: 2 |
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Hello, I am considering Service Package 3 for a historical-data-only use case: downloading historical CME intraday tick data for MNQ (Micro E-mini Nasdaq-100) and processing the .scid files programmatically outside Sierra Chart. No real-time data, and I do not have a funded futures trading account. I have read the Sierra Chart Historical Data Service and Denali Exchange Data Feed pages. Three points I could not resolve from the documentation: 1. Entitlement. The Denali page says "If you require only historical data for CME, CBOT, NYMEX, COMEX, then use the Sierra Chart Historical Data Service instead." Can you confirm that Package 3 alone - no Denali subscription, no CME exchange fees, no funded futures account - allows downloading historical CME intraday data? 2. Expired contract months. I need explicit contract months (for example MNQU5-CME, MNQZ5-CME) rather than a continuous/rollover symbol, because each session in my analysis must use one specific contract. Is downloading historical data for an expired contract month supported, and how far back are expired MNQ contracts retained? 3. Volume conservation. The documentation says the intraday data contains the actual individual trades making up a larger summary trade. For MNQ, does the sum of TotalVolume across all tick records for a session equal the exchange's reported session volume, with no filtering, no minimum-size threshold and no bad-tick removal that would drop or alter a print? If any correction or filtering is applied, what is it? Point 3 matters most to me: I am reconciling your data against another vendor's normalisation of the same CME MDP3 feed, so exact volume conservation is the deciding factor. Thank you. |
| [2026-08-30 21:11:39] |
| User172255 - Posts: 2 |
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Follow-up: I have now activated a paid Service Package 3 on this account (usage time to 2026-10-20), so this is no longer a free-trial enquiry. Question 3 is the one I most need answered. For MNQ, does the sum of TotalVolume across all tick records in a session equal the exchange's reported session volume, with no filtering, no minimum-size threshold and no bad-tick removal? Any filtering or thresholding would make the data unsuitable for my purpose, so a plain yes or no is enough. Two related points I have since found on this board, which may save you time: 1. Timestamp semantics are already answered in thread 107133 (CME tag 60), so please disregard that aspect of my original question. 2. Thread 107125 reports historical intraday data for an expired contract (SR3Z24-CME) ending 74 days before its final trading day, and Engineering replied that this is a known problem and that the missing data can only be added as 1 minute data. My use case needs roughly ten expired MNQ contract months covering 2023 through 2025, and 1 minute data would not be a usable substitute for tick data. Are there known instances of this truncation affecting MNQ contract months, and is there a way for me to verify that an expired MNQ contract is complete to its final trading day before I rely on it? Thank you. |
| [2026-08-30 21:50:54] |
| Sierra_Chart Engineering - Posts: 24714 |
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Question 3 is the one I most need answered. For MNQ, does the sum of TotalVolume across all tick records in a session equal the exchange's reported session volume, with no filtering, no minimum-size threshold and no bad-tick removal? The answer to this is a little involved. There is no filtering. Every single trade reported by the CME data feed is included. However, it is normal, and unavoidable, that the Intraday volume, when added up, for a particular trading session will not equal the reported session volume at the end of the day. It is always lower. This is explained here:Differences With Data and Chart Bars Between Services / Connections / Chart Types: 43.7 - Comparing Daily Volume to Intraday Chart Bar Volume What the reason for this is we do not know. However, If you look at any other data feed from another vendor, and you add the intraday volume for the entire trading day including evening session, it is never going to equal, the end of day reported volume from the exchange. It will always be less. No, this does not affect any other futures market. SR3 is very unusual in that it trades beyond its contract month and year: Are there known instances of this truncation affecting MNQ contract months, and is there a way for me to verify that an expired MNQ contract is complete to its final trading day before I rely on it?
You can just simply verify this, by simply opening a chart for any expired contract and you will see that it ends, on its last trading day. These are index futures. They always end a certain number of days before the end of the contract month. 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: 2026-08-30 21:55:32
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