Support Board
Date/Time: Sat, 14 Nov 2026 17:45:03 +0000
CME Denali & Binance Futures — Native Aggressor Side, Volume Accuracy and Order Flow Stud
View Count: 27
| [2026-11-14 13:22:27] |
| User789757 - Posts: 1 |
|
Hello, I am currently considering Sierra Chart for trading and professional order flow analysis, and I have a few technical questions regarding data accuracy and exchange-provided aggressor-side information. I am particularly interested in CME futures via Denali (NQ, MNQ, ES, MES) and Binance Futures (BTCUSDT). Both exchanges provide native aggressor-side information: - CME: 5797-AggressorSide - Binance Futures: m (isBuyerMaker) Could you please confirm: 1. Does Sierra Chart directly use these exchange-provided fields to identify aggressive buyers and sellers, or does it infer trade direction from Bid/Ask prices or price movements? 2. Is the native aggressor-side information used for both real-time and historical tick-by-tick data? 3. Do Delta, Cumulative Delta Bars (CVD), Numbers Bars (Footprint), and Volume by Price (Volume Profile, including Bid/Ask Volume and Delta) use the actual exchange-provided aggressor side without additional estimation? 4. Regarding Binance volume inaccuracies: In June 2026, Sierra Chart Engineering acknowledged that Binance fractional volumes were multiplied by 10,000 and truncated, causing inaccuracies, and mentioned a planned fix. Has this issue now been fully resolved? If so, in which version, and does the correction apply to both real-time and historical data? Are there any remaining volume losses, aggregation issues, or missing trades affecting Delta, CVD, Footprint, and Volume Profile? Reference: BTC_USDT_PERP_BINANCE discrepancy in volume reported with binance official feed ? Please clarify separately for CME/Denali and Binance Futures. Thank you. |
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