Support Board
Date/Time: Mon, 10 Aug 2026 00:09:57 +0000
BidVolume/AskVolume field - does the non-Market-Depth Full CME Group data tier include it?
View Count: 7
| [2026-08-09 22:47:00] |
| chahreddine - Posts: 1 |
|
Hello, I'm on a free trial evaluating a paid Integrated Service Package + Denali Exchange Data Feed (Full CME Group) subscription for a research project. I need historical intraday tick data with the trade aggressor classification (the BidVolume/AskVolume fields per trade, as seen in the Intraday Data Export) for the following products: ES, YM, MES, RTY, NKD (CME/CBOT), GC, SI, HG, PL, PA (COMEX), CL, RB, HO, NG (NYMEX), and the CBOT grains (ZC, ZS, ZW, KE, ZM, ZL, ZO, ZR). I already confirmed on the free trial (YM, several historical contracts back to Feb 2012) that BidVolume/AskVolume is present and clean. Before subscribing, could someone confirm: 1. Does the "Full CME Group" Denali feed WITHOUT Market Depth (the lower-cost non-professional tier) provide the BidVolume/AskVolume classification per trade, or is the Market Depth tier required for this field? 2. For the products listed above, is there a common start date for clean intraday tick history with BidVolume/AskVolume populated, or does it vary by product/exchange? I'm aware MES only launched in May 2019 -- are there similar considerations for any of the others? 3. Are there any known gaps or data quality issues in this history between 2012 and today for any of these products? Thank you for your help -- this will determine which data feed tier I subscribe to. |
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