Support Board
Date/Time: Sat, 10 May 2025 11:42:20 +0000
Post From: Source of data for expired CME futures contracts, Market Statistics, and Cash Indexes
| [2015-11-10 19:03:53] |
| Rusty - Posts: 39 |
|
There are two Services to request historical tick-by-tick data for expired CME GLOBEX futures contracts: 1. Sierra Chart Real-time and Historical Exchange Data Feed ("SC Exchange Data"): I assume data, after 11/13 when the SC data feed began collecting data, is in fact the data collected by SC. So beginning with, say ESZ13, the distributed data is SC quality. I assume that prior to 11/13 (e.g. ESU13) the data was collected by some other vendor, perhaps Barchart or OEC. When did the data source cut over to the SC data feed, and who is the source of the previous data? 2. Sierra Chart Historical Data Service (SC Historical Data): Do the same assumptions as above apply, i.e. that data post-11/13 is "SC Exchange Data" quality and that prior data is some other vendor? Or are there two separate archives from which the two Services access the data and different assumptions apply for the "SC Historical Data" service? I could not find answers to these questions in the SC online documentation. For Market Statistics and Cash Indexes historical data requests: 3. Market Statistics have been computed and distributed by SC since 2/14. I assume historical data requests are served up SC-only data. Please confirm. 4. Cash Indexes have never been computed by SC, and they use Barchart symbols. I assume historical data is collected by Barchart from exchanges and other data services (e.g. Dow Jones) and served up by either the "SC Exchange Data" service or "SC Historical Data" service. Please confirm. I understand you may be unable or unwilling to answer some of these questions due to contractual agreements or competitive considerations. Thank you. |