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Delayed Exchange Data Feed


Introduction

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.

When first accessing the data from the Delayed Exchange Data Feed it is possible to see up to a 10 minute wait before the data starts streaming. It is not expected that this will be the case in most cases, but it could be seen. This would be the case for the first user requesting market data for a symbol which has not been requested by any other user to give the server time to delay the data. The reason for this behavior is the efficiency of design of the Sierra Chart market data infrastructure.

Setup Instructions

The following instructions are to be used to access the Delayed Exchange Data feed.

There are a total of 3 sections to be completed. They are the following:

Software Update (Delayed Exchange Data Feed >> Setup Instructions)

This section of the Setup Instructions ensures that the Sierra Chart software is at a version that supports the Delayed Exchange Data Feed.

In order to be able to use the Delayed Streaming Data Feed, it is necessary that the Sierra Chart software be at version 2014 or higher. If the software is already at version 2014 or higher, then the following steps in this section can be skipped.

  1. Run the Sierra Chart software.
  2. Within the Sierra Chart software, select Help >> Download Current Version on the menu.
  3. When prompted to close Sierra Chart since the installer has been downloaded, select Yes.
  4. When prompted to Save the data in the Chartbooks, select Yes or No as needed.
  5. Select the Install button on the installer window.
  6. When prompted that the installation is complete, press the OK button.
  7. Press the Close button on the installer window and Sierra Chart will restart and will be running the Current Version.

Setting Up Support for Sierra Chart Data Feeds (Delayed Exchange Data Feed >> Setup Instructions)

  1. 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.
  2. The delayed data is accessible with the following Services in Sierra Chart:
    • SC Data - All Services
    • Trading Evaluator - Delayed
    • SC Futures Order Routing/Data
  3. Within the Sierra Chart software, select Global Settings >> Data/Trade Service Settings. Select one of the above services.
  4. 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).
  5. 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.

  1. Within Sierra Chart select File >> Find Symbol.
  2. On the Find Symbol window, select a symbol from any of the following sub-categories:
    • Futures - CME
    • Futures - CBOT
    • Futures - COMEX
    • Futures - NYMEX
  3. To open a chart, press Open Historical Chart or Open Intraday Chart.
  4. Press the Close button to close the Find Symbol window.
  5. 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.


*Last modified Thursday, 18th June, 2020.