Support Board
Date/Time: Sat, 10 May 2025 11:08:58 +0000
Source of data for expired CME futures contracts, Market Statistics, and Cash Indexes
View Count: 904
| [2015-11-10 19:03:53] |
| Rusty - Posts: 39 |
|
There are two Services to request historical tick-by-tick data for expired CME GLOBEX futures contracts: 1. Sierra Chart Real-time and Historical Exchange Data Feed ("SC Exchange Data"): I assume data, after 11/13 when the SC data feed began collecting data, is in fact the data collected by SC. So beginning with, say ESZ13, the distributed data is SC quality. I assume that prior to 11/13 (e.g. ESU13) the data was collected by some other vendor, perhaps Barchart or OEC. When did the data source cut over to the SC data feed, and who is the source of the previous data? 2. Sierra Chart Historical Data Service (SC Historical Data): Do the same assumptions as above apply, i.e. that data post-11/13 is "SC Exchange Data" quality and that prior data is some other vendor? Or are there two separate archives from which the two Services access the data and different assumptions apply for the "SC Historical Data" service? I could not find answers to these questions in the SC online documentation. For Market Statistics and Cash Indexes historical data requests: 3. Market Statistics have been computed and distributed by SC since 2/14. I assume historical data requests are served up SC-only data. Please confirm. 4. Cash Indexes have never been computed by SC, and they use Barchart symbols. I assume historical data is collected by Barchart from exchanges and other data services (e.g. Dow Jones) and served up by either the "SC Exchange Data" service or "SC Historical Data" service. Please confirm. I understand you may be unable or unwilling to answer some of these questions due to contractual agreements or competitive considerations. Thank you. |
| [2015-11-12 11:24:26] |
| |
|
1. Not totally sure of the cutover date without research. But all of the data prior to the cutover date consists of Barchart 1 minute data for earlier years, and later years comes from a high-quality source for futures data. 2. The Sierra Chart Historical Data service for major futures contracts and US stocks uses the same historical data as SC Real-time and Historical Exchange Data Feed uses. Otherwise the data comes from Barchart. 3. You can either use the Sierra Chart calculated market statistics or the Barchart calculated market statistics. This section here explains this: Sierra Chart Market Statistics: Obtaining Data Further Back in Time for Some Market Statistics Symbols 4. Yes this is all a correct understanding. The data originates from the exchanges. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: