Support Board
Date/Time: Mon, 17 Aug 2026 11:25:39 +0000
Post From: MNQ Historical Market Depth Availability for Service Package 5
| [2026-08-15 07:13:37] |
| User869123 - Posts: 1 |
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Dear Sierra Chart Support, Before purchasing Service Package 5, I need written confirmation of the exact historical Market Depth data currently available for MNQ futures contracts. Today is August 15, 2026. My required research period is October 17, 2025 through July 31, 2026. 1. Exact contract availability Please provide the earliest and latest downloadable historical Market Depth date currently available for each of the following contracts: MNQZ5, December 2025 MNQH6, March 2026 MNQM6, June 2026 MNQU6, September 2026 Please confirm whether every trading date within my required research period is currently available. If complete coverage is not available, please identify: The earliest available date for each contract The latest available date for each contract Any known gaps within the available data The exact retention period currently applicable to MNQ Market Depth data 2. Service Package 5 and additional fees I plan to use Service Package 5, priced at 36 USD per month, together with the Delayed Exchange Data Feed. Please confirm: Can Service Package 5 use the Delayed Exchange Data Feed to download historical Market Depth files for these CME contracts? Is any additional exchange fee, market data fee, or other charge required beyond the Service Package 5 fee when downloading delayed historical data? Would an Integrated Service Package or the Denali Exchange Data Feed be required for any part of this historical download? 3. Market Depth file contents Please confirm that the downloaded depth files contain every available Market by Price update, including: Timestamp Bid or ask action Price level Aggregate quantity at the price level Number of orders at the price level End of update batch indication Please also confirm whether the Number of Orders field is reliably populated for historical MNQ Market Depth data. I understand that these depth files do not contain individual order IDs and do not contain executed trades. Please confirm that this understanding is correct. 4. Separate historical trade files Please confirm that separate historical Intraday tick files are available for the same contracts and dates. Please confirm whether these files include: Individual trades Trade price and trade size Best bid and best ask prices at the time of each trade Bid and ask quantities at the time of each trade Bid Volume and Ask Volume aggressor classification Please confirm whether the Intraday trade files and the Market Depth files can be aligned reliably by timestamp. What timestamp precision is provided? Are both data streams timestamped from the same exchange timestamp source when downloaded through the Delayed Exchange Data Feed? 5. Retention clarification The Sierra Chart documentation and Support Board contain several different statements regarding historical Market Depth availability. The Market Depth Historical Graph documentation states that Historical Market Depth data can be downloaded for the previous 15 days when using the Denali Exchange Data Feed. The historical Market Depth download section states that CME Group Market Depth data is maintained for a maximum of 180 days. A January 2026 Support Board response states that Sierra Chart has more than six months of Market Depth data. A March 2026 Support Board response states that Sierra Chart has between six and twelve months of data for any given symbol. Which retention and download limit applies specifically to MNQ historical Market Depth through Service Package 5 and the Delayed Exchange Data Feed as of August 15, 2026? 6. Download procedure Please confirm that the correct procedure is: Open a separate chart for each individual contract rather than using only a Continuous Contract chart Enable Support Downloading Historical Market Depth Data Set Maximum Historical Market Depth Days to Download to the required value Add Download Depth Data from Date Time through Global Settings and Customize Chart Shortcut Menu Use that command from the chart at the required starting date and time 7. Local research retention After downloading the files, may I retain and use them locally for private research after the Service Package expires? The files will not be redistributed, sold, shared, or made available to any third party. Thank you for your assistance. |