Support Board
Date/Time: Tue, 02 Jun 2026 22:40:03 +0000
Post From: Historical Data Inquiry — ES/MES Tick Data for NT8 + Python Research Workflow
| [2026-06-02 19:44:41] |
| User212642 - Posts: 1 |
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Hi Sierra Chart Support, I am evaluating Sierra Chart as a historical tick data source for a quantitative research project and have several questions before purchasing a subscription. Our Workflow: 1. Download historical tick data for ES and MES futures from Sierra Chart 2. Import that tick data into NinjaTrader 8 and run a custom NinjaScript strategy on it to produce trade signals, which are exported as a CSV file 3. In parallel, use the same Sierra Chart tick data in a Python research engine to build 5-minute OHLCV bars 4. Run simulated entries and exits in Python based on the signals NT8 produced, using the Python-built bars for price reference 5. The goal is to validate the strategy over multi-year historical data using a walk-forward analysis framework We trade ES and MES intraday only — RTH sessions, never across sessions. All signals fire and close within the same trading session on a 5-minute bar chart. Questions: 1. Which Service Package is required to access full historical intraday tick-by-tick data for ES and MES going back to at least 2011? We need tick data, not 1-minute bars. 2. Are there any exchange fees on top of the subscription cost for CME futures historical data? If so, what is the approximate monthly cost? 3. Continuous contract and rollover: Since we trade intraday only and never across sessions, does the choice of rollover method (back-adjusted vs unadjusted) affect the tick data we download? We want raw prices as they actually traded — no price adjustment. Is unadjusted stitching available and is it the right choice for our use case? 4. On roll dates specifically: when SC rolls from one quarterly contract to the next (e.g. ESH to ESM), does this happen between sessions or is there any possibility of a mid-session switch on the roll date? We need to know if roll date bars could contain data from two different contracts. 5. What is the tick data export format? We plan to parse the scid binary files directly in Python. Can you confirm the exact record structure of the scid format — field names, data types, byte sizes, byte order, and timestamp format (exchange local time or UTC)? 6. For NT8 import specifically: is there a recommended workflow or known issues when using Sierra Chart historical tick data as the data source for NinjaTrader 8 strategy backtesting? Any compatibility issues we should be aware of? 7. Are there any known issues or limitations with our overall workflow that you can see — specifically the combination of using SC tick data in NT8 for signal generation and then independently in Python for bar construction and simulation? 8. Is there anything else about the Historical Data Service for ES/MES tick data that we should be aware of before building a multi-year research pipeline on top of it? Thank you for your time. Happy to provide more detail about the workflow if helpful. Best regards, Samir |