Support Board
Date/Time: Mon, 12 Oct 2026 20:31:12 +0000
Technical and licensing verification — historical CME NQ trade-level Delta export
View Count: 24
| [2026-10-12 16:19:17] |
| User147498 - Posts: 1 |
|
Hello Sierra Chart Support, I am evaluating historical CME Nasdaq-100 (NQ) futures data for independent, offline Python research. This is a technical inquiry only; I am not authorizing a subscription, purchase, account access or data download. Please clarify whether historical intraday exports configured at 1 tick contain exchange aggressor side per individual execution, or only aggregated BidVolume/AskVolume fields. Explain any distinction from Time and Sales. Could you please answer the following questions in writing, and link to relevant documentation or license terms? Q01 — Do you provide CME NQ futures historical individual executed trade records, not only candles, indicators, or a screen-limited Time and Sales view? Q02 — Can we export all historical individual NQ executions for an entire trading day to a machine-readable file? Please specify menu/API, exact format and any row limits. Q03 — Does each exported trade include exchange-provided aggressor side (buyer/seller)? If inferred, describe the method, exceptions, and missing/unknown values. Q04 — Please provide an exact export field dictionary: UTC timestamp and precision, trade price, quantity, aggressor side, instrument, contract expiry, trade ID/sequence and correction flags. Q05 — Are exported timestamps UTC, and what is their precision? How are daylight saving time and exchange trading dates handled? Q06 — Can we request explicit individual NQ contract months (not back-adjusted continuous series), and document rollover and contract mapping? Q07 — Can you confirm availability of at least 20 distinct independent NQ trading dates excluding 2026-08-18 UTC? Specify retention, gaps and coverage of overnight, pre-US and US sessions. Q08 — Are canceled/corrected trades, sequence gaps, late messages and feed outages exposed or documented? Can volumes reconcile to authoritative exchange totals? Q09 — Is the export the complete underlying historical feed or only records currently loaded, displayed, sampled or retained locally? Q10 — Which exchange data entitlements, subscriptions and account conditions are required for historical tick-level export? Q11 — May a single user retain exported records locally, transform to minute-level signed Delta, and analyze them with Python for personal research? Please cite exact license terms. Q12 — Are there restrictions on retaining, sharing, publishing or uploading raw or derived data? Can derived research results be stored? Q13 — Please provide a written all-in quote for 20 specified NQ trading dates, including platform fees, CME fees, historical fees, export/API fees, taxes and minimum commitment. Q14 — Before purchase, can you provide a documented schema/sample or screenshots demonstrating export fields and aggressor provenance, without requiring a paid download? Q15 — How do we repeat the same export, version the dataset and detect subsequent corrections or vendor-side revisions? We need at least 20 independent trading dates, excluding August 18, 2026 (UTC). Please distinguish exchange-supplied aggressor side from any inferred classification. We will not assume that bar-level Bid/Ask volumes are individual trade records. Please identify which answers are confirmed, conditional or unavailable. We will evaluate technical suitability before considering any paid service. Thank you. |
| [2026-10-12 16:45:09] |
| John - SC Support - Posts: 48181 |
|
You can not use the data in Sierra Chart outside of the system. You can only access the data within the software using our ACSIL interface. Refer to the following: Advanced Custom Study Interface and Language (ACSIL) 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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