Support Board
Date/Time: Mon, 31 Aug 2026 03:54:44 +0000
Post From: Package 3 historical MNQ tick data: entitlement, expired contract months, volume conservation
| [2026-08-30 12:46:21] |
| User172255 - Posts: 2 |
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Hello, I am considering Service Package 3 for a historical-data-only use case: downloading historical CME intraday tick data for MNQ (Micro E-mini Nasdaq-100) and processing the .scid files programmatically outside Sierra Chart. No real-time data, and I do not have a funded futures trading account. I have read the Sierra Chart Historical Data Service and Denali Exchange Data Feed pages. Three points I could not resolve from the documentation: 1. Entitlement. The Denali page says "If you require only historical data for CME, CBOT, NYMEX, COMEX, then use the Sierra Chart Historical Data Service instead." Can you confirm that Package 3 alone - no Denali subscription, no CME exchange fees, no funded futures account - allows downloading historical CME intraday data? 2. Expired contract months. I need explicit contract months (for example MNQU5-CME, MNQZ5-CME) rather than a continuous/rollover symbol, because each session in my analysis must use one specific contract. Is downloading historical data for an expired contract month supported, and how far back are expired MNQ contracts retained? 3. Volume conservation. The documentation says the intraday data contains the actual individual trades making up a larger summary trade. For MNQ, does the sum of TotalVolume across all tick records for a session equal the exchange's reported session volume, with no filtering, no minimum-size threshold and no bad-tick removal that would drop or alter a print? If any correction or filtering is applied, what is it? Point 3 matters most to me: I am reconciling your data against another vendor's normalisation of the same CME MDP3 feed, so exact volume conservation is the deciding factor. Thank you. |