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Date/Time: Thu, 29 Feb 2024 19:35:21 +0000



Historical data

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[2021-12-09 01:16:19]
Vladimir G - Posts: 5
Hello,

what service package do I need to get quality historical data for CME, CBOT?
(market depth not needed, just 1 seconds ticks)

I am currently on package 3 and I get following response for history data:

{ "RequestID": 1, "RejectText": "Request is not authorized.", "RejectReasonCode": "HPDR_GENERAL_REJECT_ERROR" }

My broker is AMP with CQG activated.

Thanks, Vladimir
[2021-12-09 15:14:04]
John - SC Support - Posts: 29530
It is not a matter of the Service Package, just the data feed you desire. Since you are wanting quality historical data, we recommend using our Denali Exchange Data Feed. You will find the instructions for the Denali Exchange Data Feed for the CME Group at the following link:
Denali Exchange Data Feed: *Setup Instructions: CME/CBOT/NYMEX/COMEX Exchanges*

Note that in the process you will change your package, but that is just to a package that includes the Denali Exchange Data Feed Fee.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-12-12 22:16:19]
Vladimir G - Posts: 5
John, Thanks for your answer!

I finally found the way to get non-Denali HISTORICAL data, but I want to try Denali.

Setup instructions for Denali require lot of activations, but as I understand this is for real-time data.
I have trading account to qualify as non-professional, but at the moment I am interested in HISTORICAL data only.

Is Denali HISTORICAL data more quality and differ from non-Denali HISTORICAL data?
Do I need all these activations for real-time data to get quality Denali HISTORICAL data or I can skip it and all I need just change Service Package that includes Denali?

Thanks, Vladimir
[2021-12-13 17:21:38]
John - SC Support - Posts: 29530
Is Denali HISTORICAL data more quality and differ from non-Denali HISTORICAL data?

Yes, it is higher quality, in that the historical data for the CME Group is tick data (every trade) going back to 2011. But you can get data back to 2008 with 1 minute data from 2008 to 2011.

Do I need all these activations for real-time data to get quality Denali HISTORICAL data or I can skip it and all I need just change Service Package that includes Denali?

If you are just wanting to take a look at the historical data from the Denali Exchange Data Feed, then we recommend installing a second Sierra Chart which will be setup (by default) to have the service set to SC Data - All Services. You will then be accessing the Delayed Streaming Data for the CME Group without having to pay any additional fees. Refer to the instructions at the following link for how to install another Sierra Chart:
Using Multiple Data and Trading Services at the Same Time: Step-By-Step Instructions to Install Multiple Copies of Sierra Chart

The only thing you would need to do is to fill out the Uniform Subscriber Agreement for Delayed Data. You will find this agreement at this link:
https://www.sierrachart.com/UserControlPanel.php?page=ExchangeAgreements
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: 2021-12-13 17:23:04
[2021-12-17 08:25:11]
Vladimir G - Posts: 5
Hi John,

on Package3 (non Denali) I fetched historical data and moved all "scid" files from SierraChart/Data folder to other folder.
Then switched package to Package 10 (Denali) and accepted "Uniform Subscriber Agreement for Delayed Data".
Then fetched all data again.

And all historical data (non Denali) and (Denali) is absolutely the same (you can look at file sizes) and this data is not accurate.
Please see screenshot attachment.

What I am doing wrong and how I can get historical Denali accurate data?
Can you confirm if I make Denali subscription for real-time data, I will get another historical data and it won't be the same?

Thanks, Vladimir
imageScreenshot at Dec 17 11-17-06.png / V - Attached On 2021-12-17 08:23:13 UTC - Size: 605.39 KB - 108 views
[2021-12-17 15:26:15]
John - SC Support - Posts: 29530
To begin with, those files should be the same, as they are for the symbols that are used for SC Data - All Services. When you are connected to CQG, your symbol for ES would be F.US.EPZ21, for the December 2021 contract. Therefore, you would need to look at the file named F.US.EPZ21.scid to see the size of that file.

But, this does make us wonder if you were previously connected to CQG or not. If not, then you would have been getting the data from us all along, although the original error message you mentioned is confusing then.

Also, what are you seeing within the data itself (the Denali Data) that makes you say that it is not correct?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-12-17 17:22:09]
Vladimir G - Posts: 5
John,

the first time on Package3 I fetched data with "SC Data - All Services".
The second time on package 10 I also fetched data with "SC Data - All Services".

Why do I need to connect to CQG as data come from Denali and not CQG?

Why I think they are incorrect.
I parse "scid" files and compare every single date by open, high, low and close price with other data set from other source.
And there is a difference mostly for open price (high, low and close almost always matched).

I can assume that other dataset is incorrect, but I also compare open price with closing price of previous date and in your dataset there is much big difference in approx 25% of cases.

Also you told that Denali historical data is more accurate than non-Denali, so I try to understand what I am doing wrong and how I can get Denali historical data.

It seems in both cases I fetched non-Denali.
But how to fetch Denali being on Package 10?
[2021-12-17 19:29:29]
John - SC Support - Posts: 29530
You are getting the Denali data if your Service is set to SC Data - All Services.

Although to be absolutely sure, you would need to select Edit >> Delete All Data and Download for each symbol (not for each chart). If you are using Continuous Contracts, then it will ask which contracts you want to redownload, select All of them. Then wait for the data to redownload and then you will definitely have the Denali data.

--

If you want to be connected to CQG for trading and get your data from the Denali Exchange Data Feed, then you will need to pay for the real-time data. Otherwise, we assume you are getting your data from CQG.

To do this, first you will setup your system to connect to CQG by following these instructions:
CQG Trading Platform Service: Setup Instructions

Then you will need to update your symbols to the CQG symbols by opening your Chartbooks and selecting Edit >> Translate Symbols to Current Service.

Then you will setup the Denali Exchange Data Feed by following these instructions:
Denali Exchange Data Feed: *Setup Instructions: 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
[2021-12-17 20:19:45]
Vladimir G - Posts: 5
John,

currently I don't care about real-time data.
There are a lot of sources for good real-time data, but there are not many for historical data for affordable price.

I CARE about historical data.

if I delete all ".scid" files from "SierraChart/Data" is it the same as "Edit >> Delete All Data and Download".
Or you have some cache?
[2021-12-17 22:23:45]
John - SC Support - Posts: 29530
It is the same if you delete the files or do it from the menus. But if you delete the files, you need to exit from Sierra Chart before you delete them, or it may not delete them properly.

Also, make sure you have the correct symbols set for the service you have setup. In order to get the data from the Denali Exchange Data Feed, you will need to have your Current Selected Service set to SC Data - All Services.

Also, make sure that the setting for Global Settings >> Data/Trade Service Settings >> Common Settings >> Intraday Data Storage Time Unit is set to 1 Tick to ensure that you get all of the data that is available.

Once you have received the data, let us know if there is some reason why you are not happy with it.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-12-20 03:58:33]
Sierra Chart Engineering - Posts: 104368

Why I think they are incorrect.
I parse "scid" files and compare every single date by open, high, low and close price with other data set from other source.
And there is a difference mostly for open price (high, low and close almost always matched).

You cannot make these kinds of comparisons. Understand the meaning of all of these fields in Sierra Chart for tick by tick data, refer to:
Intraday Data Editor: Editor Controls

When you have the Global Settings >> Data/Trade Service Settings >> Current Selected Service set to SC Data - All Services , this is the same historical data used by the Denali Exchange Data Feed. You do not need the Denali Exchange Data Feed for this. Just simply Service Package 3.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-12-20 04:00:10

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