Support Board
Date/Time: Mon, 31 Aug 2026 03:58:45 +0000
CME trade-type metadata
View Count: 29
| [2026-08-30 21:03:48] |
| User330797 - Posts: 4 |
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Does Sierra Chart / Denali preserve CME trade-type metadata for off-book or negotiated transactions such as Block Trades, EFP/EFRP/EFS, and is this information exposed through ACSIL? In particular, is there any field in `s_TimeAndSales`, intraday file records, or another ACSIL structure equivalent to a trade condition / OTC trade type flag? The purpose is to exclude negotiated/off-book trades from a custom Time & Sales aggregation study, rather than infer them from volume or execution pattern. Thanks |
| [2026-08-30 22:07:04] |
| Sierra_Chart Engineering - Posts: 24714 |
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There is no such data like this that we are aware of: CME trade-type metadata for off-book or negotiated transactions such as Block Trades, EFP/EFRP/EFS,
Also a Trade Condition is only applicable to equities markets. Not futures. And Sierra Chart does not pass that information through from the source data feed other than the indicator of an Odd Lot trade. And later, we will flag alternative display facility trades (FINRA specific). 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 |
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