Support Board
Date/Time: Mon, 31 Aug 2026 03:54:31 +0000
Post From: CME trade-type metadata
| [2026-08-30 21:03:48] |
| User330797 - Posts: 4 |
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Does Sierra Chart / Denali preserve CME trade-type metadata for off-book or negotiated transactions such as Block Trades, EFP/EFRP/EFS, and is this information exposed through ACSIL? In particular, is there any field in `s_TimeAndSales`, intraday file records, or another ACSIL structure equivalent to a trade condition / OTC trade type flag? The purpose is to exclude negotiated/off-book trades from a custom Time & Sales aggregation study, rather than infer them from volume or execution pattern. Thanks |