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Date/Time: Mon, 21 Sep 2026 15:55:14 +0000
Post From: GC (COMEX) Intraday data has no Bid/Ask, and depth records only 1 level
| [2026-09-21 11:03:45] |
| User763434 - Posts: 1 |
|
Subject: GC (COMEX) Intraday data has no Bid/Ask, and depth records only 1 level — CME symbols do not behave this way Sierra Chart version:12 Data/Trade service: Rithmic Direct - DTC (rithmic_v2.trading3) Windows, 64-bit I read and analyse the .scid and .depth files directly, so the numbers below are counted from the files themselves, not from a chart. I have two separate questions about COMEX Gold (GC). 1. DOWNLOADED HISTORICAL INTRADAY DATA FOR GC CONTAINS NO BID/ASK In the .scid record, CME symbols carry Ask in the High field and Bid in the Low field. GC does not: for GC, Open == High == Low == Close in 100.00% of records. To be sure I was looking at downloaded data and not at data recorded on my own machine, I measured only contracts that expired before I ever started local recording: symbol exch records period High != Low NQZ5 CME 34,266,119 2025-08-29..2025-12-19 100.00% NQM5 CME 34,367,896 2025-02-28..2025-06-20 99.99% NQU5 CME 27,800,262 2025-05-30..2025-09-19 100.00% NQH6 CME 30,838,586 2025-11-28..2026-03-20 100.00% NQM6 CME 34,259,566 2026-02-27..2026-06-18 100.00% ESM6 CME 73,565,998 2026-02-27..2026-06-18 100.00% RTYU6 CME 8,261,730 2026-03-16..2026-09-18 100.00% GCZ5 COMEX 16,836,871 2025-07-15..2025-12-29 0.00% GCG6 COMEX 7,698,921 2025-11-12..2026-02-25 0.00% GCJ6 COMEX 6,784,526 2026-01-14..2026-04-28 0.00% GCM6 COMEX 4,635,699 2026-03-13..2026-06-25 0.00% GCZ6, the current front month, shows the same pattern: 0.00% on all 134 historical session days, and 95% on today's session only - that is, Bid and Ask are present only for the ticks recorded live on my machine, and never in the downloaded history. Questions: (a) Is the absence of Bid/Ask in downloaded GC Intraday data expected? (b) Is there any way to obtain historical Bid/Ask for GC - a different data service, a setting, or a separate download? 2. GC MARKET DEPTH RECORDS ONLY ONE LEVEL PER SIDE Market depth recording is enabled and .depth files are being written for GC, but they contain only the top of book. I rebuilt the full book by replaying every command in the file and counted the live levels per side: GCQ6.COMEX.2026-08-17.depth 54,851 rec bid median 1, max 2 ask median 1, max 2 GCQ6.COMEX.2026-08-18.depth 221,000 rec bid median 1, max 2 ask median 1, max 2 The same parser, on CME symbols: NQU6.CME.2026-08-13.depth 18,632,424 rec bid median 1,396 ESU6.CME.2026-08-13.depth 7,151,099 rec bid median 897 NQZ6.CME.2026-09-18.depth 17,467,774 rec bid median 100 I note that NQZ6 returns 100 levels where NQU6 returned 1,396, so the number of levels does vary on my setup. But GC returns 1, which is not a value I have configured anywhere. Questions: (c) Is COMEX market depth limited to top-of-book on this service? (d) If full COMEX depth is available, what is required - a specific CME Group market data subscription level, a COMEX exchange agreement, a different data service, or a setting in Sierra Chart? I understand (c) and (d) may depend on the data feed rather than on Sierra Chart. If so, please tell me which side owns it and I will take it there. Thank you. |