Support Board
Date/Time: Thu, 15 Oct 2026 17:21:10 +0000
CME trade-type metadata
View Count: 257
| [2026-08-30 21:03:48] |
| User330797 - Posts: 5 |
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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: 25188 |
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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 |
| [2026-08-31 19:53:35] |
| User330797 - Posts: 5 |
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To clarify the data pipeline: When CME futures Block Trades / EFP / EFR / other negotiated transactions occur, are those trades included at all in the Denali market data / Time and Sales stream used by Sierra Chart? If they are included, are they processed as normal trade records with the trade-type metadata discarded/not exposed? Or are those transactions not part of the Denali Time and Sales stream in the first place? I am not asking whether ACSIL exposes a trade-condition field; I am specifically trying to understand whether these negotiated trade events are present in Sierra Chart's futures Time and Sales/volume data at all. Thank you |
| [2026-08-31 22:10:17] |
| Sierra_Chart Engineering - Posts: 25188 |
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We do not know. You need to ask the CME: When CME futures Block Trades / EFP / EFR / other negotiated transactions occur, are those trades included at all in the Denali market data / Time and Sales stream used by Sierra Chart? You need to ask the question, are these trades sent through this protocol and generate a trade summary: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457418925/MDP+3.0+-+Trade+Summary We do not know the answer to any of your questions because we do not know if this data is even provided through the market data protocol from the CME. 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: 2026-08-31 22:10:45
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