Support Board
Date/Time: Thu, 23 Jul 2026 03:17:11 +0000
Questions to the historical accuracy of tick data
View Count: 13
| [2026-07-22 22:22:11] |
| zzzieke - Posts: 1 |
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I’m using the Sierra Chart Historical Data Service for CME futures (NQ) tick data for backtesting. A few questions about data provenance and quality: 1. Is the historical CME intraday data sourced directly from CME’s MDP 3.0 feed? 2. Is the bid/ask volume in historical CME records exchange-reported (from the MDP 3.0 aggressor flag), or inferred by a tick rule? 3. How are CME summary/unbundled trades represented in the .scid files? 4. For NQ, how far back is genuine tick-by-tick data available, and is there a cutoff before which it’s aggregated rather than true tick? Thanks |
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