Support Board
Date/Time: Fri, 02 Oct 2026 00:33:25 +0000
Post From: MNQ historical quote data and original receive timestamps
| [2026-10-01 21:10:44] |
| User623672 - Posts: 1 |
|
Hello, Before purchasing a package, could you confirm whether Sierra can provide an export of approximately 800 distinct historical MNQ trading sessions with: - Raw trades and every best-bid/best-ask update between trades, including quoted sizes, not only quotes attached to trades. - Original capture-server receive timestamps in addition to exchange event timestamps, with their clock origin and actual precision documented. - Preserved event ordering, trade aggressor indicators, and trading-status/reset information. The standard SCID format does not appear to expose a separate original receive timestamp, and your documentation states a maximum 180-day retention for downloadable CME market depth. Is there another native/raw historical archive or export that provides the above fields over a longer period? If so, please specify the available MNQ dates, the export format/schema, and the minimum package and total cost for historical-only use. Would Base Package 3 at USD 26/month suffice? A small technical sample or format documentation would help confirm compatibility. If these fields are not archived, please confirm that explicitly. This is an information request only, not an order or service activation. Thank you. |