Support Board
Date/Time: Fri, 21 Aug 2026 02:41:53 +0000
Post From: Historical data query
| [2026-08-20 22:05:31] |
| User222332 - Posts: 1 |
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Hello Sierra Chart Support, I am evaluating Sierra Chart + Denali for quantitative research/backtesting and would appreciate confirmation of the historical data available before I activate a paid package. My use is personal/internal research, with data processed locally in Python. I am primarily interested in NQ and ES futures and options on those futures. Could you please clarify the following: 1. *NQ and ES futures* - How far back is true *1-tick historical intraday data* available for individual NQ and ES futures contracts? - Does 1-tick historical data contain individual trades only, or are historical bid/ask updates also represented? - What timestamp precision is stored in the .scid files? 2. *NQ and ES options on futures* - Does Sierra/Denali retain historical intraday data for *expired NQ and ES option contracts*? - How far back is that history available? - Can it be downloaded at *1-tick resolution*, or is the historical resolution different for futures options? - For historical option records, are bid, ask, trade price, trade size/volume and timestamps available? - Is historical bid/ask data actual quote data, or derived/reconstructed? - I understand historical market depth may not be available for futures options; please confirm. 3. *Historical contract access* - Can I directly open/download individual expired futures and expired futures-option contracts, rather than relying on a continuous contract? - Is there any limit on how many historical individual contracts I can download? 4. *Local storage / retention* - Once Sierra downloads historical data into .scid files, may I permanently retain those files locally for my own internal research? - May I continue using the locally downloaded data for backtesting after I stop subscribing to Sierra/Denali? - May I export the data to text/CSV and convert it into formats such as Parquet for internal Python research? 5. *Required package* - If my objective is historical NQ/ES futures and futures-options acquisition rather than live trading, is *Service Package 10* sufficient? - Do I need any additional CME/Denali exchange subscription for historical data only, or are exchange fees required only for real-time data? As a concrete example, I would like to be able to download several years of individual NQ futures contracts at tick level and historical expired NQ/ES option contracts for systematic backtesting. Thank you for helping me confirm the exact historical coverage and data fields. Sean |