Support Board
Date/Time: Fri, 06 Nov 2026 01:37:10 +0000
GC (COMEX) Intraday data has no Bid/Ask, and depth records only 1 level
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| [2026-09-21 11:03:45] |
| User763434 - Posts: 2 |
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Subject: GC (COMEX) Intraday data has no Bid/Ask, and depth records only 1 level — CME symbols do not behave this way Sierra Chart version:12 Data/Trade service: Rithmic Direct - DTC (rithmic_v2.trading3) Windows, 64-bit I read and analyse the .scid and .depth files directly, so the numbers below are counted from the files themselves, not from a chart. I have two separate questions about COMEX Gold (GC). 1. DOWNLOADED HISTORICAL INTRADAY DATA FOR GC CONTAINS NO BID/ASK In the .scid record, CME symbols carry Ask in the High field and Bid in the Low field. GC does not: for GC, Open == High == Low == Close in 100.00% of records. To be sure I was looking at downloaded data and not at data recorded on my own machine, I measured only contracts that expired before I ever started local recording: symbol exch records period High != Low NQZ5 CME 34,266,119 2025-08-29..2025-12-19 100.00% NQM5 CME 34,367,896 2025-02-28..2025-06-20 99.99% NQU5 CME 27,800,262 2025-05-30..2025-09-19 100.00% NQH6 CME 30,838,586 2025-11-28..2026-03-20 100.00% NQM6 CME 34,259,566 2026-02-27..2026-06-18 100.00% ESM6 CME 73,565,998 2026-02-27..2026-06-18 100.00% RTYU6 CME 8,261,730 2026-03-16..2026-09-18 100.00% GCZ5 COMEX 16,836,871 2025-07-15..2025-12-29 0.00% GCG6 COMEX 7,698,921 2025-11-12..2026-02-25 0.00% GCJ6 COMEX 6,784,526 2026-01-14..2026-04-28 0.00% GCM6 COMEX 4,635,699 2026-03-13..2026-06-25 0.00% GCZ6, the current front month, shows the same pattern: 0.00% on all 134 historical session days, and 95% on today's session only - that is, Bid and Ask are present only for the ticks recorded live on my machine, and never in the downloaded history. Questions: (a) Is the absence of Bid/Ask in downloaded GC Intraday data expected? (b) Is there any way to obtain historical Bid/Ask for GC - a different data service, a setting, or a separate download? 2. GC MARKET DEPTH RECORDS ONLY ONE LEVEL PER SIDE Market depth recording is enabled and .depth files are being written for GC, but they contain only the top of book. I rebuilt the full book by replaying every command in the file and counted the live levels per side: GCQ6.COMEX.2026-08-17.depth 54,851 rec bid median 1, max 2 ask median 1, max 2 GCQ6.COMEX.2026-08-18.depth 221,000 rec bid median 1, max 2 ask median 1, max 2 The same parser, on CME symbols: NQU6.CME.2026-08-13.depth 18,632,424 rec bid median 1,396 ESU6.CME.2026-08-13.depth 7,151,099 rec bid median 897 NQZ6.CME.2026-09-18.depth 17,467,774 rec bid median 100 I note that NQZ6 returns 100 levels where NQU6 returned 1,396, so the number of levels does vary on my setup. But GC returns 1, which is not a value I have configured anywhere. Questions: (c) Is COMEX market depth limited to top-of-book on this service? (d) If full COMEX depth is available, what is required - a specific CME Group market data subscription level, a COMEX exchange agreement, a different data service, or a setting in Sierra Chart? I understand (c) and (d) may depend on the data feed rather than on Sierra Chart. If so, please tell me which side owns it and I will take it there. Thank you. |
| [2026-09-21 12:15:04] |
| User135243 - Posts: 330 |
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it seems you get the Rithmic (data) from a broker or prop, so you've to ask them how to add level2 data. If you want use Denali data, you've to connect to a real live-account to prove that you're non-pro subscriber, if this is done you can subscribe to Denali data with market-depth. |
| [2026-09-21 16:40:40] |
| John - SC Support - Posts: 48449 |
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Basically what User135243 is telling you is correct. You have the "CME E-Mini for Professionals and Users Without a Trading Account" exchange active with our Denali Exchange Data Feed. That option only includes certain symbols for the CME exchange. GC, being traded on COMEX is not included at all. Therefore, the data you are getting for GC is coming from Rithmic. Rithmic does not supply much in the way of historical data, so most likely you do not have the data at all for those periods. Refer to the following for our thoughts on Rithmic data: Rithmic Trading Platform Service: Rithmic Support Policy If you want to get the data from our Denali Exchange Data Feed for COMEX, then you have the following exchange options available: - COMEX non-professional top-of-book: 2.00 USD / month - COMEX with Market Depth for non-professional Trading accounts: 13.50 USD / month - COMEX, For professionals and users without a trading account: 145.00 USD / month Keep in mind that in order to qualify for the Non-Professional exchanges for the CME Group, you need to have a live, funded, futures trading account. Refer to the following: Denali Exchange Data Feed: Understanding and Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-09-21 17:07:01] |
| User763434 - Posts: 2 |
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Thank you, that resolves it - the asymmetry I measured was two different data sources in the same Data folder, not two exchanges. One correction on the historical point, in case it changes your answer: I do have the GC data. 35,956,017 records across GCZ5, GCG6, GCJ6 and GCM6, going back to 2025-07-15, plus 135 session days on GCZ6. So Rithmic did supply it. It simply has no Bid/Ask - Open == High == Low == Close in 100.00% of those records. That leaves one question, and it is the one that decides what I do: If I activate "COMEX with Market Depth for non-professional Trading accounts" on the Denali Exchange Data Feed, does the historical Intraday data I can then download for GC include Bid/Ask for periods BEFORE the subscription starts, or only from the subscription date forward? I ask because the two answers lead to completely different decisions. If Denali serves historical GC Intraday with Bid/Ask, that is what I need. If it only accumulates forward from the subscription date, I need to plan for that instead. Thank you. |
| [2026-09-21 18:18:41] |
| John - SC Support - Posts: 48449 |
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The data from our Denali Exchange Data Feed is 1 tick data going back to around 2011. The Best Ask/Best Bid information is available with all of that data.
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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