Support Board
Date/Time: Mon, 31 Aug 2026 03:55:20 +0000
Post From: Package 3 historical MNQ tick data: entitlement, expired contract months, volume conservation
| [2026-08-30 21:50:54] |
| Sierra_Chart Engineering - Posts: 24714 |
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Question 3 is the one I most need answered. For MNQ, does the sum of TotalVolume across all tick records in a session equal the exchange's reported session volume, with no filtering, no minimum-size threshold and no bad-tick removal? The answer to this is a little involved. There is no filtering. Every single trade reported by the CME data feed is included. However, it is normal, and unavoidable, that the Intraday volume, when added up, for a particular trading session will not equal the reported session volume at the end of the day. It is always lower. This is explained here:Differences With Data and Chart Bars Between Services / Connections / Chart Types: 43.7 - Comparing Daily Volume to Intraday Chart Bar Volume What the reason for this is we do not know. However, If you look at any other data feed from another vendor, and you add the intraday volume for the entire trading day including evening session, it is never going to equal, the end of day reported volume from the exchange. It will always be less. No, this does not affect any other futures market. SR3 is very unusual in that it trades beyond its contract month and year: Are there known instances of this truncation affecting MNQ contract months, and is there a way for me to verify that an expired MNQ contract is complete to its final trading day before I rely on it?
You can just simply verify this, by simply opening a chart for any expired contract and you will see that it ends, on its last trading day. These are index futures. They always end a certain number of days before the end of the contract month. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-08-30 21:55:32
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