Support Board
Date/Time: Sat, 31 Jan 2026 18:55:30 +0000
Inquiry regarding Denali Exchange Data Feed for US Equity Options (QQQ, SPY) and Index Opt
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| [2026-01-31 14:56:00] |
| User871410 - Posts: 2 |
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Dear Sierra Chart Support Team, I am a user of Sierra Chart and I am planning to implement advanced options flow analytics (GEX, DEX, and Convexity/Vanna flow) within the platform using ACSIL. I have a few specific questions regarding the Denali Exchange Data Feed capabilities: 1- US Equity Options (OPRA): Does the Denali Exchange Data Feed currently provide real-time and historical tick-by-tick data for US Equity Options (the OPRA feed), specifically for high-volume ETFs like QQQ and SPY? If not, do you recommend a specific third-party integration (like IQFeed or dxFeed) for this purpose? 2- CBOE Index Options: I noticed the transition to CBOE Global Indices. Does Denali provide real-time and historical data for cash index options such as SPX and NDX? 3- Raw Data for Greek Calculations: To calculate Gamma Exposure (GEX) and Delta Exposure (DEX) across the entire option chain, I need raw data including Open Interest, Volume, and Implied Volatility for all strikes/expirations. Does the Denali feed provide this raw data for the symbols mentioned above? 4- Service Package: Which Service Package (e.g., Package 11 or 12) is required to access the full un-filtered options data for the purpose of large-scale Greeks aggregation? Thank you for your assistance and for providing such a high-performance platform. Best Regards, |
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