Denali Exchange Data Feed

Introduction

The Denali Exchange Data Feed provides real-time and historical data for the CME, CBOT, NYMEX, COMEX, EUREX, CFE, NASDAQ TotalView (also includes NYSE and AMEX), US Equities Consolidated Tape (NYSE, AMEX, NASDAQ full volume. Top of book only), and CBOE Indices exchanges.

Up to 1400 levels of market depth data per side (bid/ask) is provided for all exchanges.

Three simultaneous connections to this data feed are supported per device.

Two separate computers can both be accessing the data at the same time with an additional payment of exchange fees. Refer to Denali Exchange Data Feed on Two Computers Simultaneously for information about how to access this data feed on two computers at the same time.

There are no symbol limits imposed as to how many symbols you can receive real-time data for concurrently.

High quality and low latency data feed that provides tick by tick data.

The Denali Exchange Data Feed is not specific to any particular broker, clearing firm, or Trading service. It is a Sierra Chart data feed which you can subscribe to and pay for directly from your own Sierra Chart account.

It provides market data only. It can be used with any Trading service and must be used with the Teton Futures Order Routing Service.

If only historical and delayed data is required, then use the Delayed Exchange Data Feed instead.

What is Included

• Streaming Real-Time Data: Yes.
• Market Depth Data: Yes. In the case of the CME Group exchanges, to receive market depth data, you need to activate an exchange which includes market depth data. If you activate the Full CME Group without market depth, then you will not receive market depth data for any CME symbols within Sierra Chart.
• Historical Intraday Data: Yes. Tick by tick data for popular futures contracts on the CME begins at 2011.
  
  Prior to this the CME data is in 1 minute units and begins at June 2008.
  
  Tick by tick data for popular futures contracts on EUREX begins at 2013. Prior to this the EUREX data is in 1 minute units and begins at 2010.
  
  At least 1 Year of historical tick by tick data is provided for US stocks. Prior to this the US stock data is in 1 minute units and begins in 2008.
  
  For other futures contracts and cash index symbols, tick by tick data begins at 2013. Unless otherwise noted, the amount of historical data available in 1 Minute units depends upon the symbol and is at least back to 2010 so long as the symbol traded back that far in time. For some symbols there is more historical data available.
• Historical Daily Data: Yes. The number of years available depends upon the symbol. At a minimum there is going to be 15 years of data so long as the symbol traded back that far in time.
• Historical Bid Trade Volume and Ask Trade Volume: Yes.. 100% accurate for CME and EUREX futures markets. The amount of historical data that has Bid Trade Volume and Ask Trade Volume depends upon if the historical data is tick by tick. Refer to Historical Intraday Data above.
• Historical Futures Spread Data: Yes for the CME. This data begins September 2015.
• Options Data: Futures options data available for the CME.
• Combining of Sub-trades into Exchange Reported Original Summary Trade: Supported for the CME futures symbols.
• Tick by tick unfiltered data feed.
• Full unfiltered market depth data direct from the exchanges.
• High precision market depth data delivery with millisecond time stamping.
• Low latency.
• Direct CME FIX data feed integration at our backend.
• Seamless integration with the trading service you are using. There is no need to run a second copy of Sierra Chart or use any special settings.
• Exchange traded spreads for CME markets are supported.
• Uses DTC Protocol.

Integration with Trading Services

The Denali Exchange Data Feed supports full and seamless integration with all supported Trading services:

• Interactive Brokers Trading Service
• Rithmic Trading Platform Service
• Teton Order Routing Service
• CQG Trading Platform service

This seamless integration means that when you activate one of the exchanges for the Denali Exchange Data Feed for your Sierra Chart account, the charts and Trade DOM windows will receive real-time data for any symbol for which that exchange provides data regardless of the actual symbol that is being used by your trading service, as Sierra Chart remaps the symbol for the trading service to the actual symbol for the exchange.

In the case of non-professional real-time CME Group data, you need to connect to your live, funded, futures trading account at least once a month for verification by following the Connecting Only Once a Month to Trading Account to Support CME Group Exchange Fees instructions. If you are constantly connected to your live, funded, futures trading account, then this check is being performed automatically and a special connection once a month does not need to be performed. For more information, refer to Understanding Accessing Data From CME.

Follow the instructions below to integrated the Denali Exchange Data Feed with your trading service:

1. Within Sierra Chart, select Global Settings >> Data/Trade Service Settings on the menu.
2. Ensure that the Current Selected Service is set to the Trading service that you are using. It can be one of the supported Trading services
   
   
   
   
   
3. In the list of Service Settings for the selected Service, make sure the entries are all configured according to the set up instructions for the selected Service. Refer to Data and Trading Services for instructions for each service.
4. Sierra Chart must be connected to a Live funded futures trading account to authorize the CME, CBOT, NYMEX, COMEX real-time data if you are using one or more of the CME, CBOT, NYMEX, COMEX non-professional exchanges.
5. Select Common Settings from the menu.
6. Set the Allow Support for Sierra Chart Data Feeds option to Yes.
7. Press OK.
8. If the Current Selected Service was changed, you will be prompted to update the symbols for your charts. You should answer Yes to the prompt unless you will be changing services back to the previous setting and you know you do not want to
9. Reconnect to the data feed by selecting File >> Reconnect.
10. If you changed the Current Selected Service, then it will be necessary to update the symbols in your charts. change symbols of existing charts in your open Chartbooks to the symbols used by the connected Trading service, select Edit >> Translate Symbols to Current Service.

There is no other special configuration required and no need to use a separate copy of Sierra Chart on your system. The symbols you will use to receive market data are the same symbols that your Trading service uses (File >> Find Symbol).

For proper data feed mapping it is necessary to use the symbols you see listed in the Find Symbol window for the connected Trading service. There is an automatic internal mapping between the Trading service symbols and the Sierra Chart data feeds.

You will know that a Sierra Chart data feed is being used when you see an [M] indicator after the Symbol on the top line of the chart or Trade DOM. Refer to the image below.

When using a sub-instance of Sierra Chart through File >> New Instance, you will not see the [M] indicator, but this data feed is still being used for the symbol as long as you do see the [M] indicator for the same symbol in the main instance of Sierra Chart.

If you do not see the [M] indicator, then Update the Symbol Settings. Also be aware that to receive CME data at reduced exchange fees for non-professionals, you must have connected to a live, funded trading account. This is another reason why you may not see the [M].

Another possibility for not seeing the [M] indicator is that the internal mapping has not been set up for the symbol. If you expect to see the [M] and do not, then contact Sierra Chart Support.

For symbols which are not supported by the Sierra Chart Exchange Data Feed or for symbols on an exchange you have not activated on your Sierra Chart account, the data will be received from the Trading service you are connected to.

If you pay separately to your Trading service for market data, you can unsubscribe from the market data that you are now receiving through the Sierra Chart data feed.

Europe and Asia Pacific Servers

When using the Denali Exchange Data Feed, the following are the locations for data.

For CME Group data, by default this data originates out of the United States in the Midwest.

For EUREX data the data originates out of Germany. Primarily from Frankfurt Germany but could also be our secondary data center location in Falkenstein.

US Equities data always originates out of the United States in the Midwest.

For real-time CME Group (CME, CBOT, NYMEX, COMEX) data you can also access this from Europe if you are in Europe, or from New Zealand if you are in the Asia-Pacific area. New Zealand is a good location, if you are in Asia. To access real-time CME Group data, in Europe or Asia-Pacific, refer to CME Exchange Data Feed Server Address and Port Override. This section has the server addresses to specify.

Using Trading Service Provided Data Feed

To use the data feed provided by your Trading service and not a Sierra Chart Data Feed, you need to set Global Settings >> Data/Trade Service Settings >> Common Settings >> Allow Support for Sierra Chart Data Feeds to No.

After changing the Allow Support for Sierra Chart Data Feeds setting, reconnect to the data feed with File >> Reconnect.

This will not always work in all cases with all exchanges. Some exchanges must come from the Denali Exchange Data Feed with many Trading services. For example, EUREX data must come from the Denali Exchange Data Feed and not from the Trading service.

Pricing

There are 2 components to the cost for the Denali Exchange Data Feed.

1. The cost of the Sierra Chart Service Package which gives the ability to use the Denali Exchange Data Feed. One of the Integrated packages is required to be able to get data from the Denali Exchange Data Feed. Refer to the Service Packages page for pricing for these packages.
2. The Exchange Fees. These are billed in full each month no matter when they are activated.
   
   The CME Group offers a free trial until the end of the month in which one of their exchange options is activated. So it does make sense to wait until the start of a new month before activating exchanges to take advantage of the trial.

Activating exchanges is essential when using the Denali Exchange Data Feed to be able to receive the real time data. Otherwise, data will be delayed, or not available, for any exchange that is not activated.

It must be understood that when you have activated and are using the lower-cost nonprofessional CME Group exchange fees that these require a verified funded trading account with a supported trading service. For more information, refer to Understanding and Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges.

Exchange fees automatically renew on a calendar month basis. As long as there are sufficient funds in your account on the first day of each month, then the exchange will automatically renew.

If there are insufficient funds to automatically renew an exchange on your account at the beginning of the new month, then it will be automatically deactivated. If this occurs, then you will need to add funds to your Services Balance and reactivate the real-time data feed connection and Exchanges you had previously on the Recurring Services page

You can manually deactivate the data feed at any time and prevent further billing by going to the Exchange Data Feed Features page. There will be a Deactivate button beside each of the exchanges which are currently active in order to deactivate those. Since the exchanges are paid up-front, you will continue to get the data for any deactivated exchange through the end of the current month.

Supported Exchanges (Exchange Fees)

The Denali Exchange Data Feed offers support for the exchange options listed in the table below.

Exchange fees are billed in full each month no matter when they are activated. Therefore, you will pay the entire exchange fee no matter when it is activated in a particular month.

The CME Group of exchanges have trials for the first month which means there will be no cost for that exchange during the month in which it is first activated. The following month will be billed at the full price.

To activate/deactivate an exchange for the Denali Exchange Data Feed, go to the appropriate page:

1. Activate / Deactivate Denali Exchange Data Feed Exchanges [CME / CBOT / NYMEX / COMEX]
2. Activate / Deactivate Denali Exchange Data Feed Exchanges [CFE]
3. Activate / Deactivate Denali Exchange Data Feed Exchanges [NASDAQ TotalView]
4. Activate / Deactivate Denali Exchange Data Feed Exchanges [EUREX]
5. Activate / Deactivate Denali Exchange Data Feed Exchanges [US Equities Consolidated Tape]
6. Activate / Deactivate Denali Exchange Data Feed Exchanges [CBOE Global Indices]

All required steps prior to activating an exchange must be completed prior to activating an exchange.

It must also be understood that in order to use the lower-cost nonprofessional CME exchange fees that these require a verified live funded futures trading account with a supported Trading service and Sierra Chart needs to connect to that account. For more information, refer to Understanding and Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges. Also, refer to Integration with Trading Services. A recommended solution in cases where a trading account is not available through one of the supported services, is to use the Easy Solution to CME Funded Trading Account Requirement.

If you are not entitled to use one of the nonprofessional exchange fees, then you must pay for the higher-priced professional exchange fees for real-time data. For more information, refer to CME Exchange Fees for Professionals and Users Without a Supported Trading Account.

In order to avoid paying exchange fees twice when using the Denali Exchange Data Feed with a supported Trading service, you will want to cancel any exchange fees that you pay to the Trading service since you will be using the Denali Exchange Data Feed for data.

*Setup Instructions: Activating Service Package*

If you already are using one of the Integrated packages for your Sierra Chart Service Package, then skip this section as it does not apply. If you are skipping this section, then continue with the Sign the Agreements: CME and/or the Sign the Agreements: All Other Exchanges.

This section is for changing your Service Package to one that allows access to the Denali Exchange Data Feed data.

When changing Service Packages only the remaining Usage Time is adjusted based on the daily cost of the old and new packages. No additional funds are deducted from or credited to your account. In general, this would mean that the number of days will be reduced, since the Integrated packages are more expensive than the Base Service Packages. Be sure to select the Service Package time frame that is desired for the next renewal period.

1. Go to the Activate Services section of the Services Activation page.
2. Select the pulldown in this section and select one of the Integrated service packages with the number of months for which you will want to renew Sierra Chart.
3. Select either the Update/Set or the Update and Renew Now button, as appropriate. The only reason to select the Update and Renew Now button is if you want to pay immediately for the selection in order to add the time to your account (such as when making a change from a Trial package).
4. Add sufficient credit to the Services Balance on your account to pay for the cost of the chosen Service Package when it renews.
   
   You will need to Login your account if you are not already. You can also login by selecting Help >> Account Control Panel from within Sierra Chart.
   
   You also need to be sure your account has a sufficient credit balance before the beginning of the next month to cover the cost of the exchange fees for the next month. Otherwise, you will lose access to real-time data from that exchange.
   
   
   
5. Continue with the Sign the Agreements: CME and/or the Sign the Agreements: All Other Exchanges.

*Setup Instructions: Sierra Chart Software Instructions*

1. Run the Sierra Chart software using the shortcut on your desktop, if it is not already running.
2. Select Global Settings >> Data/Trade Service Settings.
3. Select the Common Settings tab.
4. Ensure that the Allow Support for Sierra Chart Data Feeds option is set to Yes. Reconnect to the data feed if you have enabled this setting.
   
5. Press OK.
6. If you will be using the Denali Exchange Data Feed integrated with the Trading service you will be using Sierra Chart with, follow the Integration with Trading Service Instructions.
7. If you will be using the Denali Exchange Data Feed independent of and not integrated with any particular supported Trading service, then select Global Settings >> Data/Trade Service Settings and set the Service to SC Data - All Services.
8. If you are using one or more of the CME/NYMEX/CBOT/COMEX non-professional exchanges and you have your Service set to SC Data - All Services, then it is necessary to connect Sierra Chart at least once a month to your Trading account to qualify for the lower-priced fees. Otherwise, you will receive delayed data.
   
   To do this, follow the Connecting Only Once a Month to Trading Account Instructions instructions.
9. In Sierra Chart, select Global Settings >> Symbol Settings. Press the Update From Server button. Wait for the button to reenable and then press OK. This step is not necessary, but it is just precautionary to make sure you have up-to-date symbol settings.
10. Open your Chartbook(s) through File >> Open Chartbook.
11. After they are open, select Edit >> Translate Symbols to Current Service to translate the symbols to the currently selected Service.
12. At this point you are all complete with the setup of the Denali Exchange Data Feed and real-time data. You will know the Denali data feed is being used when you see an [M] indicator after the Symbol on the top line of the chart or Trade DOM.
    
    
    
    
    
    If you do not see an [M] indicator after the symbol on the chart and you have activated the exchange the symbol is on, then symbol mapping may need to be set up by Sierra Chart support. In this case, contact Sierra Chart Support and let us know the specific symbols for which you do not see this indicator.
13. If you have been using a different data feed compared to the Denali Exchange Data Feed, then you should definitely re-download the data in your charts to get the best quality of data into the charts. You can do this by going to the chart and selecting Edit >> Delete All Data and Download.
    
    You only need to do this once for each symbol and chart type (Historical or Intraday). You should only do this for charts that have an [M] after the symbol, since those are the ones that are using this new data feed.
14. You are now all finished with the setup of the Denali Exchange Data Feed! If you have any issues or questions, contact us on the Support Board.

*Setup Instructions: CME/CBOT/NYMEX/COMEX Exchanges*

Follow the Step-by-Step instructions below to activate 1 or more of the CME Group of exchanges which are part of the Denali Exchange Data Feed, for your account.

It must be understood that in order to use the lower-cost nonprofessional CME exchange fees that these require a verified live funded futures trading account with a supported Trading service and Sierra Chart needs to connect to that account or in the case of the Sierra Chart Order Routing Service have that account assigned to your Sierra Chart account. For more information, refer to Understanding and Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges. Also, refer to Integration with Trading Services. A recommended solution in cases where a trading account is not available through one of the supported services, is to use the Easy Solution to CME Funded Trading Account Requirement.

At certain steps in the following instructions, depending on your browser, you may get a pop-up message asking the question Are you sure that you wish to continue?. When prompted with this, always select OK.

Be sure to go through the necessary sections below that are part of these Setup Instructions. If you are setting up the Denali Exchange Data Feed for the first time, then it is necessary to follow the instructions in every section below. If you already have the Denali Exchange Data Feed active for your account, then some of the sections below you do not need to complete because you already have them done.

• *Setup Instructions: Activating Service Package*
• Sign the Agreements: CME
• Activate the Exchanges: CME
• *Setup Instructions: Sierra Chart Software Instructions*

Sign the Agreements: The CME Group (Denali Exchange Data Feed Setup Instructions)

[Link] - [Top]

This section of the Setup Instructions for the Denali Exchange Data Feed has you complete and sign the data agreements. The required agreements must be completed in order for Real-Time data to be supplied to your Sierra Chart software.

The data agreements have questions related to whether you are considered a Professional or a Non-Professional trader. If you have any questions, post them on the Sierra Chart Support Board.

It is necessary to electronically sign both the Uniform Market Data Subscriber Agreement and the CME Non Professional Certification at the same time.

1. Select the link for CME / CBOT / NYMEX / COMEX Exchange Agreements.
2. Go to the Real-Time Data Agreements section on that page.
   
3. Select the Uniform Subscriber Agreement.
4. Verify that the information at the top is correct. If any of it is incorrect, then exit from the agreement, go to Manage Account Information, and update your information, then select the Update Account Information button.
   
   Return to the CME / CBOT / NYMEX / COMEX Exchange Agreements and select the Uniform Subscriber Agreement.
5. Enter the required information at the bottom of the form.
   
   In order to qualify for the Non-Professional exchange fees, it is necessary that the Uniform Subscriber Agreement has the information for your funded futures trading account. Ensure that the information for the Trading Account Number and Clearing Firm has been entered if you are a non-professional. Otherwise, if you are a Professional, then these fields can be left blank.
6. Select the Submit button.
7. Return to the CME / CBOT / NYMEX / COMEX Exchange Agreements page.
8. Go to the Real-Time Data Agreements section on that page.
9. Select the CME Non Professional Certification.
10. At the bottom of the page enter your name and select either I am a Nonprofessional or I *do not qualify* as a Nonprofessional button as appropriate.
11. Continue with the Activate the Exchanges: CME instructions.

*Setup Instructions: All Other Exchanges*

Follow the Step-by-Step instructions below to activate 1 or more of the exchanges which are part of the Denali Exchange Data Feed, for your account.

At certain steps in the following instructions, depending on your browser, you may get a pop-up message asking the question Are you sure that you wish to continue?. When prompted with this, always select OK.

Be sure to go through the necessary sections below that are part of these Setup Instructions. If you are setting up the Denali Exchange Data Feed for the first time, then it is necessary to follow the instructions in every section below. If you already have the Denali Exchange Data Feed active for your account, then some of the sections below you do not need to complete because you already have them done.

• *Setup Instructions: Activating Service Package*
• Sign the Agreements (All Other Exchanges)
• Activate the Exchanges (All Other Exchanges)
• *Setup Instructions: Sierra Chart Software Instructions*

Sign the Agreements (All Other Exchanges)

[Link] - [Top]

This section of the Setup Instructions for the Denali Exchange Data Feed has you complete and sign the data agreements.

The required agreements must be completed in order for Real-Time data to be supplied to your Sierra Chart software.

The data agreements have questions related to whether you are considered a Professional or a Non-Professional trader. If you have any questions, post them on the Sierra Chart Support Board.

It is necessary to electronically sign both the Uniform Market Data Subscriber Agreement and the Non Professional Certification at the same time.

1. Select the link for:
   • CFE
   • EUREX
   • NASDAQ TotalView (US equities with market depth data)
   • US Equities Consolidated Tape
   • CBOE Global Indices
2. Go to the Real-Time Data Agreements section on that page. Example:
   
3. Select the Uniform Subscriber Agreement.
4. Verify that the information at the top is correct. If any of it is incorrect, then exit from the agreement, go to Manage Account Information, and update your information, then select the Update Account Information button.
   
   Return back to the Exchange Agreements page. Refer to the steps above.
5. Enter the required information at the bottom of the form.
6. Select the Submit button.
7. Return to the Agreements page:
   • CFE
   • EUREX
   • NASDAQ TotalView (US equities with market depth data)
   • US Equities Consolidated Tape
   • CBOE Global Indices
8. Go to the Real-Time Data Agreements section on that page.
9. Select the Non Professional Certificationlink.
10. At the bottom of the page enter your name and select either I am a Nonprofessional or I *do not qualify* as a Nonprofessional button as appropriate.
11. Continue with the Activate the Exchanges (All Other Exchanges) instructions.

Activate the Exchanges (All Other Exchanges)

[Link] - [Top]

This section gives instructions to activate the specific exchanges for which Real-Time data is required.

You will not receive real-time data for symbols on exchanges that are not activated.

The screenshots in this section are for the CFE exchange but are there just as a general guidance. When working with other exchanges the user interface views are similar.

1. Go to the appropriate exchange page for activating exchanges:
   • CFE
   • EUREX
   • NASDAQ TotalView
   • US Equities Consolidated Tape
   • CBOE Global Indexes
2. Look at the cost of the exchange:
   
   Add sufficient credit to the Services Balance on your account to if there is not a sufficient services balance already to pay for this exchange.
   
   You will need to Login to your account if you are not already. You can also login by selecting Help >> Account Control Panel from within the Sierra Chart program.
   
   You also need to be sure your account has a sufficient credit balance before the beginning of the next month to cover the cost of the exchange fees for the next month. Otherwise, you will lose access to real-time data from that exchange.
   
   
   
3. Select the Activate button for the exchange(s) that are required. An additional confirmation is required to complete this. Make sure to confirm.
4. Continue with the *Setup Instructions: Sierra Chart Software Instructions*.

CME Group Data Feed Notes

The following is information for the data for the CME Group.

• The connectivity for CME Group data is directly within the CME Aurora data center. A 10Gb connection is used directly to the CME MDP multicast exchange feeds within the same data center.
• Connectivity is to very high-performance servers.
• This data is very efficiently processed and normalized into the DTC Protocol.

EUREX Data Feed Notes

The following is technical information for EUREX data.

• Provided out of Frankfurt Germany with servers colocated with Deutsche Börse. 10Gb fiber link to Deutsche Börse T7 multicast feeds.
• Each Sierra Chart user uses a dedicated connection to the EUREX data feed no matter your location. And no matter what other exchanges you are using. So if you are using CME data, that data comes out of Chicago and EUREX originates out of Frankfurt. Sierra Chart maintains separate connections for CME and EUREX.
• Low latency data.
• Direct connectivity to Deutsche Börse T7 Reference Data (RDI) and T7 Extended Order Book Interface (EOBI). Sierra Chart is the first to be offering this for retail traders.
• Full order book. All levels of market depth are provided
• 100% accurate Bid Volume and Ask Volume based upon the exchange identification of the aggressor in the trade.
• Ability to recombine trades into the original summary trade based on actual exchange data. Supports the Combine Trades into Original Summary Trade feature.

US Equities Consolidated Tape Data Feed Notes

Complete information for: US Equities Consolidated Tape Data Feed.

Nasdaq TotalView Data Feed Notes

The NASDAQ Total View data feed provides real-time and delayed data for NASDAQ, NYSE and AMEX/NYSE Market stocks and ETFs. All of the US equities are included.

For real-time data activate the NASDAQ Total View exchange. There is a cost for this. For delayed NASDAQ TotalView data, no activation is needed. The data will be delayed by default when the NASDAQ Total View is not activated.

With the NASDAQ TotalView data feed, there is no official Open, High, Low, or Settlement/Close prices provided.

The Open price for a symbol will be the open for the first trade at or after 4 AM US Eastern time for that symbol. You can validate this by going into Chart >> Chart Settings and enable Use Evening Session to see the data at that time in the chart.

NASDAQ TotalView symbols use this format: [standard stock symbol]-NQTV

Example: GM-NQTV

You can find common symbols and search for NASDAQ symbols through File >> Find Symbol >> NASDAQ TotalView (NASDAQ/NYSE/AMEX Stocks).

We have listed several hundred common stock symbols in that list as well for easy selection.

To search for a symbol, refer to Symbol Search.

You can only search by symbol and not descriptions. Support for searching by descriptions will come later.

For a delayed version of the NASDAQ TotalView data feed, use the Delayed Exchange Data Feed. According to exchange rules, Sierra Chart is not able to provide delayed streaming market depth data or market by order data for the NASDAQ TotalView data feed.

Historical market depth data is provided but it has a one-day delay with the Delayed Exchange Data Feed. There is no delay of historical market depth data when receiving real-time NASDAQ TotalView data.

The NASDAQ data feed is a consistently low latency data feed, provided direct out of New York direct from NASDAQ. There are no intermediaries at all.

You will not see all of the trades for a particular symbol when using NASDAQ TotalView. Only what is traded through NASDAQ. Therefore, the volumes will be less. This can result in fewer chart bars. For the complete volume and trades, the full consolidated tape data is required. This is offered through the US Equities Consolidated Tape Exchange. Use this exchange and symbols for the full trading volume and trades.

In the case of a Historical Daily Chart the chart bars other than for the current day, will show the full consolidated tape volume. The current day volume will be showing the NASDAQ TotalView volume. The NASDAQ TotalView volume is going to be lower since it only includes trading on NASDAQ for the stock.

NASDAQ TotalView stocks usually trade in increments of .01 and that is what the Tick Size in Sierra Chart is set to for these stock symbols. However, sometimes there are trades based upon an increment of .005. Here is a trade price example for SPY-NQTV: 382.275

NASDAQ TotalView data does not support the option Combine Trades into Original Summary Trade.

If you want to use the Bid/Ask Market Depth Pulling/Stacking columns on a Chart/Trade DOM, for US Equities/Stocks, then you need to activate the NASDAQ TotalView exchange and use the NASDAQ TotalView symbols. Example: SPY-NQTV.

CBOE Global Indices Data Feed Notes

Sierra Chart has a real time data feed for CBOE Global Indices which primarily provides the S&P 500 volatility index and the S&P 500 cash index. Various other indices are provided as well.

CBOE Global indexes can be activated through the CBOE Global Indices page.

Symbols can be found and listed through File >> Find Symbol >> CBOE Global Indexes from within Sierra Chart.

Only real-time data is provided. There is no delayed data available.

To use this data feed you need to be running a current version of Sierra Chart. Update through Help >> Download Current Version.

In File >> Find Symbol >> CBOE Global Indexes from within Sierra Chart, you can select (Get All CBOE Global Indexes Symbols) and then press the Get Symbols button to get all of the symbols. Some symbols listed may not be available.

Real-Time Data Free Trial and Alternatives

The CME Group offers a free trial for their exchange(s) for up to one calendar month, for the first time a customer is using the Denali Exchange Data Feed.

To use the Free Trial follow the Setup Instructions: CME/CBOT/NYMEX/COMEX Exchanges on this page and activate the exchange(s). If this is the first time using the Denali Exchange Data Feed, then the remainder of the month in which the exchange(s) is activated will be at no cost. Unless deactivated, prior to the next month, the full amount for the exchange(s) will be billed on the first of the following month.

A free real-time data trial is connected to the calendar month in which it is activated. This means that when you activate an exchange which is free in the first month, it is free until the end of that calendar month. So if there are only 5 days remaining in the month you only have a free trial for the remaining 5 days. The next month you will be billed for the full amount of the exchange. It is advantageous if it is near the end of the month to wait until the next month to take advantage of the free trial.

There is only one free trial possible. After you use it, there is no further entitlement to a free trial.

It is necessary to be on one of the Integrated Packages in order to get the real-time data.

This free trial for the CME Group does not apply to the Professional, or those without a trading account, exchanges. If you will be using the Professional exchanges then you will need to pay the full price for the exchange at the time that is is activated.

As an alternative to real-time data, it is recommended to use the Delayed Data Feed which will perform the same as the real-time data except it is delayed by 10 minutes and 10 seconds for the CME Group (other exchanges are delayed by 15 minutes). Refer to the Delayed Exchange Data Feed page.

Connections

Denali Exchange Data Feed on Two Computers Simultaneously

[Link] - [Top]

When trying to access the Denali Exchange Data Feed on more than one computer/device at the same time, due to strict rules from the exchanges Sierra Chart will not be able to connect to the data feed and you will see this message in the Sierra Chart Message Log:

SC Data - All Services | Logon error received from server: Connection limit exceeded. | (Date-Time)

If you have a need to use the Denali Exchange Data Feed on a second computer at the same time as the first computer, then you can pay for a second set of exchange fees as required by the exchange.

To enable this option go to the Denali Exchange Data Feed Exchanges webpage and set the option for Number of Systems to 2 Systems.

At the time that the Number of Systems is set to 2 Systems, your account will be charged the full monthly exchange fees for all exchanges that are active, regardless of when in the month that this is activated.

As an alternative to the above, you can use the Delayed Exchange Data Feed on the second or more computers rather than paying the exchange fee. To use the Delayed Exchange Data Feed, refer to Using Delayed Market Data.

Canceling an Exchange for the Denali Exchange Data Feed

Canceling an exchange for the Denali Exchange Data Feed is very straightforward and only requires a few steps. There are no refunds for unused data associated with the Denali Exchange Data Feed.

1. Go to the Activate Services page.
2. If not already logged in, log in with the Sierra Chart account for which you want to cancel the exchange.
3. Select the link for Activate/Deactivate Denali Exchange Data Feed Exchanges within the section for the particular exchange that you want to deactivate.
4. Select the Deactivate button for each exchange that you want to cancel.
5. Repeat the above process for any other exchanges to be cancelled.

Since excange fees are paid up-front at the beginning of a month, once an exchange has been canceled you will continue to get the data through the end of the current month.

If there are insufficient funds to renew an exchange on the first day of a month, that exchange will not be renewed at that time, and real-time data will no longer be available from that exchange.

Changing Denali Exchange Data Feed Exchange Selections

When changing the exchange selections for a paricular exchange group (such as the CME Group or EUREX), it is first necessary to understand that the exchanges renew on a calendar month basis, the exchange fees are not refundable, and the exchange fees are not pro-rated.

This means that if you deactivate an exchange during a month, you are only setting it to not renew for the next month. Since the exchange fees are not refundable, you will continue to get the data for that exchange until the last day of the current month.

Also, when you activate an exchange, you will pay the full price for the exchange regardless of when, within the month, you activate the exchange. The exchange will renew on the first day of the next month, and you will pay the full price again. This is different from how the Sierra Chart package fees work.

Given the above, the choice on when to activate a new exchange is up to the end-user. But, as the time gets closer to the beginning of a new month, it is generally recommended that you wait until the beginning of the following month to activate any new exchanges. This will avoid paying the full price for an exchange for only a few days of data.

The following is the procedure to change exchange selections:

• Any current exchange selections that you wish to not renew for the next month should be deactivated as soon as possible, if only to ensure that the deactivation of these exchanges is remembered. To do this, follow the instructions in the section for Canceling an Exchange for the Denali Exchange Data Feed.
• To activate an exchange follow these instructions:
  • go to the Activate Services page.
  • If not already logged in, log in with the Sierra Chart account for which you want to activate an exchange.
  • Select the link for Activate/Deactivate Denali Exchange Data Feed Exchanges within the section for the particular exchange that you want to activate.
  • Select the Activate button for each exchange that you want to activate.

Denali Futures Options

Denali Futures Options with Sierra Chart Services

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The Denali Exchange Data Feed supports historical intraday, daily and real-time data for the CME futures option contracts. Follow the instructions below to access data for CME futures options.

Historical Intraday data support for CME futures options begins in September 2017.

1. Select Global Settings >> Data/Trade Service Settings.
2. The Service needs to be set to SC Data - All Services, Teton CME Order Routing, Trading Evaluator, or Trading Evaluator - Delayed.
3. Press OK to close the Data/Trade Service Settings window.
4. Select File >> Find Symbol on the menu.
5. In the list of categories locate the particular futures contract for which you want to get options. Press + to expand the lists as necessary.
6. Press the Get Options button. The option contracts will be requested, and be listed within 10 seconds or less typically. Allow time for the data to be received.
   
   Only options which have an open interest greater than 0 will be provided for efficiency reasons since the number of options available is enormous. The open interest value for each option is displayed after each contract listing as shown in the image below.
   
   If you want to know the symbol of an unlisted options contract, you can always deduce it from the format of existing listed option contracts.
   
   Due to the fact that the futures options symbols are discovered from the instrument replay data from the exchange data feeds, option symbols might not be available over the weekend because these feeds from the exchange are not always running at that time. In this case you will need to wait until Sunday evening to obtain the options symbols.
7. Among the listed option symbols, select the one that you require and press the OK button. After this the symbol will be set in the Find Symbol window and you can open an historical or an intraday chart or a Trading DOM.

Denali Exchange Traded Spreads

Denali Exchange Traded Spread Data with Sierra Chart Services

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The Denali Exchange Data Feed supports historical and real-time data for the CME Group futures spread and strategy contracts. Follow the instructions below to get data for and chart exchange traded futures spreads and strategies while connected to one of the Sierra Chart services, including SC Data - All Services, Teton CME Order Routing, Trading Evaluator, or Trading Evaluator - Delayed.

Historical data support for CME Group exchange traded spreads begins in September 2015.

1. Select Global Settings >> Data/Trade Service Settings.
2. The Service needs to be set to SC Data - All Services, Teton CME Order Routing, Trading Evaluator, or Trading Evaluator - Delayed. If you are using a different service then refer to the section for Using Denali Futures Spread Data with Trading Service.
3. Press OK to close the Data/Trade Service Settings window.
4. Select File >> Find Symbol on the menu.
5. Find the actual underlying futures contract top level list in File >> Find Symbol >> Futures - (exchange).
6. Once that is selected, then press the Get Spreads button. Refer to the instructional image below.
7. The spread contracts will be requested, and be listed within 5 seconds or less typically. If there are a lot of spreads, it will take longer. They are sent at a regulated pace from the server for performance reasons.
8. Among the listed spreads symbols, select the one that you require and press OK.
9. Press the Open Intraday Chart, Open Historical Chart or Open Trading DOM button.

Expired Spread Symbols: To access historical data for expired spread symbols, requires that you manually type the symbol into the File >> Find Symbol>> Selected Symbol box and then open either an Historical or an Intraday chart.

You can determine what the symbol is for an expired spread symbol by getting a listing of the current contract symbols as explained above and adjusting the month codes and the two digit years accordingly. For example: ZCH19-ZCK19.FUT_SPREAD.CBOT.

Behavior When Lost Connection to Trading Service When Using the Denali Exchange Data Feed

When Sierra Chart is connected to a Trading service as explained in the Integration with Trading Services section and you are using the Denali Exchange Data Feed, then this section explains the behavior when Sierra Chart loses the connection to the external Trading service.

When the connection is lost to the external Trading service, this is going to be indicated in the Window >> Message Log. The Message Log may or may not open in this case. So long as Reconnect on Failure is enabled in Global Settings >> Data/Trade Service Settings, Sierra Chart will try to automatically reconnect to the Trading service.

Do not select File >> Disconnect. Otherwise, this will completely disconnect from all of the data feeds including the Denali Exchange Data Feed. When you try to connect again and there is not a successful connection to the external Trading service, then data will still not be received from the Denali Exchange Data Feed. You first need to get a successful connection to the external Trading service.

If Sierra Chart is not able to reestablish a connection to the Trading service, the Message Log may periodically open. If this gets in your way, simply drag it to a corner of your visible screen. Do not minimize it because otherwise it will reopen.

A solution to the problem of losing the connection to the Trading service for an extended time is to use the Sierra Chart Order Routing Service which has very reliable connectivity and multiple servers.

Or use the configuration which is described in Connecting Only Once a Month to Trading Account to Support CME Group Exchange Fees. Basically you need to set the Service in Sierra Chart to SC Data-All Services and Translate Symbols To Current Service.

Restarting Sierra Chart for Updated Settings

When there are changes to any of the Denali Data Feed options for your account, Sierra Chart will automatically detect these account changes. If, however, the updated information is not reflected in Sierra Chart within about 3 minutes, it might be necessary to restart Sierra Chart to receive the updated settings.

Otherwise, Sierra Chart will not be aware of those changes, and that will cause a problem with being able to use the data feed. Or, the data feed may be used when it has been canceled at the end of the month and the charts which have previously received this data feed will not update in real time until Sierra Chart is restarted.

Viewing Activated Data Feed Features within Message Log

The real-time data functionality and exchanges you have activated for the Denali Exchange Data Feed are referred to as data feed features on your account.

Within the Sierra Chart Window >> Message Log, you can view what data feed features you have activated.

After changing any of the data feed features, Sierra Chart will automatically receive the updated settings but you will not see them in the Message Log until you select the Edit >> Clear Log command on the Message Log menu.

Open the Message Log through Window >> Message Log. Go to the top of the Message Log.

You will see the data feed features listed at the top. Here is an example: