Support Board
Date/Time: Sun, 29 Mar 2026 13:14:41 +0000
Looking for cheap historical MNQ tick data with aggressor side classification
View Count: 38
| [2026-03-29 03:39:16] |
| User920211 - Posts: 1 |
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Building a backtesting platform for MNQ futures in Python. I need historical tick data going back to at least 2021, ideally 2019. The critical requirement is aggressor side classification per trade — meaning each trade record must identify whether it was executed on the bid or the ask. I need this to compute Cumulative Volume Delta (CVD) accurately. This is NOT the same as just having bid/ask quote prices attached to a trade. I already have Databento for 3 months of MNQ trades schema data. The schema is exactly what I need — aggressor side per tick, millisecond timestamps, clean Parquet format. But extending back to 2021+ costs around $2000 which is out of range for a personal project. Things I have already tried and ruled out: - Databento — perfect data, too expensive for full history - Sierra Chart Package 10 with SC Data — could not get more than a few months of intraday tick history despite 2200 day setting configured - Sierra Chart Denali feed — requires live funded trading account for real-time, overkill for historical only - FirstRateData — OHLCV bar data only, no tick with aggressor side - TickTradingData — unclear if they carry true aggressor side classification or just bid/ask quote prices - Portara/CQG — tick data available but no confirmed aggressor side classification, CSV only, expensive What I need: - MNQ futures tick data from 2019 or 2021 minimum to present - True aggressor side per trade (bid hit vs ask lift) — not simulated, not inferred - CSV or Parquet format so it slots into an existing Python/Polars pipeline - Affordable for a personal/independent trader project What are people actually using for this? |
| [2026-03-29 09:03:40] |
| Sierra_Chart Engineering - Posts: 23369 |
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Sierra Chart does have MNQ data back to 2019. Refer to step 12 here in the set up instructions to open up expired futures contracts: Sierra Chart Historical Data Service The data is trade by trade, and the exchange aggressor flag is used to set the Bid Volume or the Ask Volume on the trade. It is 100% accurate. 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 |
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