Support Board
Date/Time: Tue, 22 Apr 2025 06:34:29 +0000
Post From: about the quality of data
| [2023-02-26 17:52:06] |
| RuBYGlyPh - Posts: 10 |
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Hi. I've been on a search for high-quality, highly accurate live market data for transactions(trades/ticks). Sierra/Denali was regularly recommended by a lot of people. Currently, I am on a 15-day trial for Sierra, with no subscription to CME. While going through intraday data, I've noticed that instead of recording each trade tick, sometimes Sierra records a lot of trades in one line. For example, this is from the raw data for NQH23-CME: Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume 2023/2/22, 23:00:00, 12176.25, 12179.00, 12174.00, 12178.50, 139, 109, 54, 85 2023/2/22, 23:00:01.012, 12177.50, 12177.75, 12174.75, 12174.75, 18, 17, 14, 4 2023/2/22, 23:00:02.034, 12175.50, 12177.00, 12174.50, 12177.00, 36, 27, 10, 26 Here, each line records 109, 17, and 27 transactions respectively. Ideally, one line should only record one transaction. There are some lines that do indeed record only one transaction, but more often than not, each line has several trades within it. This is my question: Is this because I am using a free/trial version of the product? If I were to subscribe to both SierraChart's and CME's paid live data service, will the quality of data be substantially better, and will I get updates for each and every transaction? Thanks! Edit: I do not need accuracy on past market data. I am only looking for high-speed, highly accurate LIVE data feed. The reason I used past data as a reference is because currently, I do not have access to live data feed, as I do not want to pay before I know what I'm getting. Date Time Of Last Edit: 2023-02-26 17:54:50
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