Delayed Exchange Data Feed
- Setup Instructions
- Using Delayed Data to Evaluate Performance
- Explanation of Behavior Delayed Data Feed
The Sierra Chart Delayed Exchange Data Feed offers delayed, streaming data from the CME Group of exchanges (CME, CBOT, COMEX, and NYMEX). The data includes the Market Depth information.
This data is delayed by 10 minutes and 10 seconds. Therefore, when using this data feed, the data will be constantly streaming, but the data is not the Real-Time data, but is delayed by 10 minutes and 10 seconds. For example, if the current local time is 14:32:30, then this data feed will not be displaying any market data later than 14:22:20.
Since this is delayed data, there are no exchange fees and no need to have a live, funded futures trading account in order to take advantage of the real-time nonprofessional exchange fees.
This data feed is also used by the Simulated Futures Trading Service, which provides a realistic simulation environment that can be used to practice trade, test and modify trading algorithms and techniques without having to pay for a Real-Time data feed, or having a trading account. The Simulated Futures Trading Service also supports the Denali Exchange Data Feed for real-time data.
The following instructions are to be used to access the Delayed Exchange Data feed.
Setting Up Support for Sierra Chart Data Feeds (Delayed Exchange Data Feed >> Setup Instructions)
- It is necessary to complete the agreement for the Delayed Exchange Data Feed. Click on this link to complete the agreement. It is necessary to complete this agreement to gain access to this data feed.
- The delayed data is accessible with the following Services in Sierra Chart:
- SC Data - All Services
- Trading Evaluator - Delayed
- SC Futures Order Routing/Data
- Within the Sierra Chart software, select Global Settings >> Data/Trade Service Settings. Select one of the above services.
- To ensure you receive the delayed data when using SC Data - All Services you will need to uncheck Allow Support for Sierra Chart Data Feeds (see image below).
- Select OK.
Open a Chart for a Delayed Data Symbol (Delayed Exchange Data Feed >> Setup Instructions)
This section of the Setup Instructions opens a symbol for the delayed data.
- Within Sierra Chart select File >> Find Symbol.
- On the Find Symbol window, select a symbol from any of the following sub-categories:
- Futures - CME
- Futures - CBOT
- Futures - COMEX
- Futures - NYMEX
- To open a chart, press Open Historical Chart or Open Intraday Chart.
- Press the Close button to close the Find Symbol window.
- In the case of when you have existing Chartbooks that you want to receive delayed data for, open those Chartbooks through File >> Open Chartbook. After the Chartbooks are open, select Edit >> Translate Symbols to Current Service.
Using Delayed Data to Evaluate Performance
There are costly and complicated restrictions with real time futures data from exchanges in particular the CME / CBOT / NYMEX / COMEX.
It is much easier to access streaming delayed data which has no restrictions and is included with the Sierra Chart Advanced package which trial users have access to. This data is delayed 10 minutes and 10 seconds.
The delayed data feed delivers identical performance to the real-time data feed. All of the functionality in Sierra Chart will continue to work the same as compared to when you are using a real-time data feed. The speed and performance of the data feed is the same other than it being delayed.
The features in Sierra Chart which require a streaming data feed like market depth features, and the Market Depth Historical Graph will work with the delayed data feed.
When the market is active, you will see the same performance of the data feed as you would with the real-time data feed. You can determine if there are any lagging problem and manage this.
To get an idea of how fast this data feed updates, you can reduce the Chart Update Interval for a particular chart or Trading DOM. For test purposes you could set this at 150 ms.
You can use this data feed as long as you want without being restricted to a time limit that the exchanges will impose for real-time data at no cost, if you do not have a funded trading account or pay the higher exchange fees. This time limit can be as little as 1 day, due to how exchange fees are implemented, and up to to 30 days.
Explanation of Behavior Delayed Data Feed
When first accessing the data from the Delayed Exchange Data Feed for a symbol that has not been subscribed before by any other user since the beginning of the week or since the last server restart (it is unusual for there to be a restart during the week), there will be a 10 minute wait before the data starts streaming.
It is not expected that this will be the case in most cases, because in most cases you would be looking at symbols that have already been used by other users.
This condition occurs because it is necessary to give the server 10 minutes of time to delay the data. The reason for this behavior is the efficient design of the Sierra Chart market data infrastructure where only the data that has been subscribed to by users, is transmitted among processes and over the network. this insurers, very high-performance and low latency.
Whenever Sierra Chart updates the server software for the Delayed Exchange Data Feed, then you will be transferred to another server. When transferred to that other server, the above information applies.
If you were to reconnect Sierra Chart to the data feed you may go to the server which has the new updated server process. There will be a 10 minute delay before this server process will be able to provide data after subscribing to a particular symbol since it has been restarted.
*Last modified Wednesday, 30th September, 2020.