Support Board
Date/Time: Sun, 29 Mar 2026 14:38:43 +0000
Post From: Seeking clarification on LMAX historical data granularity and real-time feed mapping
| [2026-03-29 06:20:46] |
| User856649 - Posts: 10 |
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I am seeking clarification on two specific points in the Sierra Chart LMAX documentation (LMAX Trading Service). **1. Historical Intraday data granularity** On the LMAX page, one part says: > "Complete and detailed market data is provided along with 20 levels of market depth. This includes real-time streaming data, detailed tick by tick historical Intraday data, and Historical Daily data." But another part says: > "Historical Intraday Data: Yes. 1 Second minimum increment. Data available back to March 2013 for most symbols." These two statements appear inconsistent. I would like Sierra Chart to clarify: * Is the historical intraday data for LMAX in Sierra Chart true tick-by-tick historical data? * Or is it fundamentally 1-second aggregated / sliced historical data? * If both statements are intended to be correct, what exactly does "tick by tick historical Intraday data" mean in this context? **2. Exact LMAX real-time data mapping inside Sierra Chart** The page also says: > "Streaming Real-Time Data: Yes." However, this is too vague for technical use. I'd like to ask what exact LMAX real-time data tier Sierra Chart maps to, and what effective update granularity is actually delivered into Sierra Chart. Please clarify: * Which LMAX real-time market data product / level does Sierra Chart actually use? Is the Sierra Chart LMAX real-time feed equivalent to LMAX Level 1, Level 2, Level 3, ITCH, or something else? (https://www.lmax.com/global/market-data-access) * What is the actual effective update frequency delivered into Sierra Chart? * Is Sierra Chart receiving every underlying LMAX update, or is the data throttled, sliced, sampled, or consolidated before it reaches Sierra Chart? * If it is not event-by-event, what is the effective update interval? This matters because "real-time data available" is not the same as event-by-event market data. Thanks. |