Support Board
Date/Time: Mon, 12 Oct 2026 21:11:54 +0000
Historical CME Futures data DateTime question
View Count: 273
| [2026-08-28 13:27:31] |
| booming - Posts: 2 |
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For historical CME futures data downloaded through the Denali Exchange Data Feed and stored in Sierra Chart .scid files, what exact CME timestamp is stored in the record DateTime field? Specifically, is it the CME Globex/MDP sending/dissemination timestamp for the trade, or the trade execution/event timestamp? (I’m asking specifically about downloaded historical CME Time and Sales records, not local computer receipt time) |
| [2026-08-28 21:15:44] |
| Sierra_Chart Engineering - Posts: 25148 |
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From what we remember there is only one timestamp provided in the market data messages from the CME and we use that one and only timestamp. In any case, if there is more than one timestamp there is only one particular timestamp that is reliable to use and that is what we use. This last sentence though is the case relating to the older version of the market data feed from CME. From what we remember there is only one timestamp, in the new version. It is tag 60: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457227733/MDP+3.0+-+Market+Data+Incremental+Refresh+-+Trade+Summary 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 Date Time Of Last Edit: 2026-08-28 21:19:37
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