Support Board
Date/Time: Sat, 18 Jul 2026 04:23:07 +0000
Historical Data Inquiry — ES/MES Tick Data for NT8 + Python Research Workflow
View Count: 507
| [2026-06-02 19:44:41] |
| BreakoutBoys - Posts: 7 |
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Hi Sierra Chart Support, I am evaluating Sierra Chart as a historical tick data source for a quantitative research project and have several questions before purchasing a subscription. Our Workflow: 1. Download historical tick data for ES and MES futures from Sierra Chart 2. Import that tick data into NinjaTrader 8 and run a custom NinjaScript strategy on it to produce trade signals, which are exported as a CSV file 3. In parallel, use the same Sierra Chart tick data in a Python research engine to build 5-minute OHLCV bars 4. Run simulated entries and exits in Python based on the signals NT8 produced, using the Python-built bars for price reference 5. The goal is to validate the strategy over multi-year historical data using a walk-forward analysis framework We trade ES and MES intraday only — RTH sessions, never across sessions. All signals fire and close within the same trading session on a 5-minute bar chart. Questions: 1. Which Service Package is required to access full historical intraday tick-by-tick data for ES and MES going back to at least 2011? We need tick data, not 1-minute bars. 2. Are there any exchange fees on top of the subscription cost for CME futures historical data? If so, what is the approximate monthly cost? 3. Continuous contract and rollover: Since we trade intraday only and never across sessions, does the choice of rollover method (back-adjusted vs unadjusted) affect the tick data we download? We want raw prices as they actually traded — no price adjustment. Is unadjusted stitching available and is it the right choice for our use case? 4. On roll dates specifically: when SC rolls from one quarterly contract to the next (e.g. ESH to ESM), does this happen between sessions or is there any possibility of a mid-session switch on the roll date? We need to know if roll date bars could contain data from two different contracts. 5. What is the tick data export format? We plan to parse the scid binary files directly in Python. Can you confirm the exact record structure of the scid format — field names, data types, byte sizes, byte order, and timestamp format (exchange local time or UTC)? 6. For NT8 import specifically: is there a recommended workflow or known issues when using Sierra Chart historical tick data as the data source for NinjaTrader 8 strategy backtesting? Any compatibility issues we should be aware of? 7. Are there any known issues or limitations with our overall workflow that you can see — specifically the combination of using SC tick data in NT8 for signal generation and then independently in Python for bar construction and simulation? 8. Is there anything else about the Historical Data Service for ES/MES tick data that we should be aware of before building a multi-year research pipeline on top of it? Thank you for your time. Happy to provide more detail about the workflow if helpful. Best regards, Samir |
| [2026-06-02 22:16:42] |
| John - SC Support - Posts: 47247 |
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Before we answer these questions, we want you to be aware that you can NOT get the data in real-time. The exchanges will not allow this. So if your process is predicated on having access to actual real-time data, then this can not be done with the Sierra Chart data, and we do not need to go any further. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-06-03 05:26:47] |
| BreakoutBoys - Posts: 7 |
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Hi John, Thank you for your reply. This is all predicated on historical data. Best Regards, Samir |
| [2026-06-03 13:28:50] |
| John - SC Support - Posts: 47247 |
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1. Any package has access to the historical data. For how much historical data we have available, refer to the following: Sierra Chart Historical Data Service: What is Included 2. There are no additional fees in order to access the historical data. 3. It depends on how you are accessing the data. If you export the bar data as it is displayed in the chart, then the choice of rollover will affect the data. But if you access the data directly from the .scid files, then the rollover has no impact on that raw data. 4. The switch between contracts is always at a new bar. There is never a bar that contains two different contracts. 5. It depends on how you export/acccess it. For the .scid format, refer to the following: Intraday Data File Format 6. We can not answer this. 7. We can not answer this. 8. Just that each contract is saved in its own .scid file. So if you actually parse the data from those files, and depending on how you need to enter it in the other system, you may need to create your own rollover rules. -- We do have to wonder, why you are going to such lengths to get data to another system. Why not just use Sierra Chart for all your needs? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-06-03 13:37:46] |
| BreakoutBoys - Posts: 7 |
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The indicator generating the trade signals is coded in ninjascript and I’ve been on NT for 10+ years. I’m not opposed to switching but rewriting the indicator for SC is beyond my pay grade unfortunately. Thank you for answering my questions.
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| [2026-06-05 20:09:49] |
| BreakoutBoys - Posts: 7 |
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Hi, I dl and installed package 3 but I can for the life of me not figure out how to dl ES historical 1 tick data.I would like to dl all of 2021. I asked Claude and I read the ehlp sections but I'm just not getting it. Could you kindly provide me step by step instructions? Thx |
| [2026-06-05 20:19:43] |
| John - SC Support - Posts: 47247 |
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First, make sure you have your "Intraday Data Storage Time Unit" set to "1 Tick". Refer to the following: Data/Trade Service Settings: Intraday Data Storage Time Unit (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Settings) Then it is just a matter of getting the data you want into a chart to get it downloaded. You have two choices for this, depending on how you want to get/view the data: 1. Open an individual chart for the contract you want. So if you want ES data for the March 2021 contract, you would open a chart for the symbol ESH21-CME. Refer to the following: File Menu: Find Symbol (File) 2. Open a chart for the current front contract, then set the chart to be a Continuous Futures Contract and set the amount of data to load going back as far as you need the specific data. Refer to the following: Continuous Futures Contract Charts For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-06-05 21:58:07] |
| BreakoutBoys - Posts: 7 |
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Thanks John, so if I select the Dec22 contract as front contract and set the days to 2 years I would get all of 2021 & 2022?
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| [2026-06-08 10:05:59] |
| BreakoutBoys - Posts: 7 |
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Hi John, I have spent hours on this over the WE and I'm just not finding my way. The task: 15 years of ES 1-tick data from 1.1.2021 to today date rollover, merged, back-adjusted Export as a txt or csv Could you kindly provide step by step instructions. I appreciate your help and realize that I should be able to do this on my own but my old brain just can't grasp the new platform. Thank you! Samir |
| [2026-06-08 15:31:06] |
| John - SC Support - Posts: 47247 |
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How are you wanting to export the data? Are you wanting a single chart that has the data for the time period you want to cover in it, then export that data as 1 trade (1 tick) data? Or are you wanting to have the data downloaded and then export the data related to each individual contract? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-06-08 17:36:53] |
| BreakoutBoys - Posts: 7 |
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I would like a single chart with the data for the period, probably a year at a time and then export it as 1 trad (1 tick) data, 1 per row. The purpose is offline quantitative research only. I'm building 5M bars with the data in a python app. Is there any practical limit to how much tick data can be loaded/exported in one chart? How big should I expect 1 years worth of ES data be you think? I really appreciate your support! Samir |
| [2026-06-08 19:54:43] |
| John - SC Support - Posts: 47247 |
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Open a chart for the current front contract (for ES that is the M 2026 contract). Set that chart to be a Continuous Futures Contract using whatever rollover method you want (offhand, we would suggest "Date Rule Rollover"). Then set the chart to load the data you want using either the Days to Load or the "Date Range From/To". Refer to the following: Continuous Futures Contract Charts Chart Settings: Days to Load for Intraday Chart Data Type (Chart >> Chart Settings >> Data Limiting >> Load Data Limiting Method: Days to Load) Then set the chart to be a 1 Trade chart: Chart Settings: Number of Trades Per Bar (Chart >> Chart Settings >> Bar Period >> Intraday Chart Bar Period Settings >> Bar Period Type) Then select "Edit >> Export Bar Data to Text File" to get the data you want: Edit Menu: Edit >> Export Bar Data to Text File We can not say how large the files will be, as we are not certain if you are referring to our internal data files or the exported files. You will just have to try it and see for yourself. 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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