Support Board
Date/Time: Thu, 14 May 2026 22:43:17 +0000
Historical tick CSV/text exports — bid/ask quote prices?
View Count: 29
| [2026-05-14 16:01:37] |
| User383740 - Posts: 1 |
|
Hi all, I'm evaluating Sierra Chart for backtesting research on a level-based pullback futures strategy. I've already downloaded a sample of MES tick data through the SC Historical Data Service to understand the format, and I have a few questions before committing to a longer subscription. My research scope: - Instruments: NQ, GC, ES, CL (and their micros where applicable) - Historical window: approximately 7 years of data needed — - Warm-up: 2019 (used to stabilise strategy indicators and rolling statistics before performance measurement begins; results from this year are not counted) - Performance measurement: 1 January 2020 to 30 April 2026 — deliberately includes the COVID-era volatility regime (Mar 2020), the 2022 inflation/rate-shock regime, the 2023 regional banking stress, and current conditions, to stress-test the strategy across multiple distinct macro regimes - Data extracted from Sierra Chart by exporting .scid intraday data to text (CSV) and parsed into parquet for an external Python backtesting harness; not used inside Sierra Chart's own chart engine - The strategy involves stop and target resolution plus fill modeling, so the actual best bid / best ask quote prices at trade time matter for realistic fill simulation What I've observed from the downloaded MES .scid file: - All records appear to use standard OHLC encoding (Open != 0) - BidVolume and AskVolume columns are aggressor classification (volume traded at the bid side vs ask side) - I do NOT see the SINGLE_TRADE_WITH_BID_ASK encoding (Open=0, High=ask price, Low=bid price) in any of the records I sampled (first 100k records of MESM26) My questions: 1. Is my understanding correct that the SC Historical Data Service provides trade prices + aggressor classification only, and does NOT include the actual best bid / best ask quote prices in the historical .scid files? 2. If correct, is there any configuration setting or alternative data source within the SC ecosystem (e.g., Denali Exchange Data Feed historical replay, or a different historical service tier) that DOES provide historical bid/ask quote prices alongside trades? 3. For comparison: my current NinjaTrader 8 tick exports (Last;Bid;Ask;Volume per row) carry the actual bid and ask quote prices at trade time. Is there a way to get an equivalent data tier from Sierra Chart for historical research covering 2019 onwards (7 years total)? 4. For users running Sierra Chart with external connectivity (Package 10+), do any of the connected services (Rithmic, CQG, etc.) provide historical bid/ask quote prices that are stored in the .scid format with the SINGLE_TRADE_WITH_BID_ASK encoding? 5. Specifically for CME/NYMEX/COMEX futures from 2019 to present, what is the best data tier available through Sierra Chart for use cases that require quote-aware fill modeling? I want to make sure I understand the full picture before choosing a path forward. Any guidance would be much appreciated. Thanks, Kiran Date Time Of Last Edit: 2026-05-14 16:04:24
|
| [2026-05-14 16:44:57] |
| User431178 - Posts: 868 |
|
Check the docs: Intraday Data File Format If you have 1-tick data, the high and low carry the bid and ask prices. |
| [2026-05-14 18:17:10] |
| John - SC Support - Posts: 46151 |
|
user431178 post answers most of the questions. "SINGLE_TRADE_WITH_BID_ASK" is not an encoding. It is a constant. The encoding options are defined at the following link: Data Recording Modes 5. The exchange options have no impact on what you are asking. The exchanges are separated by the exchanges themselves and then by whether they include Market Depth data or not. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: