Fetch
Databento, CME Globex: choose the tickers and the levels, run, and the job fills what is missing, fetches the last unit again to confirm it, and resumes where it stopped.
Databento
The Standard plan's history: 1-second bars from —, MBP-1 from —, MBO from —. A level's "from" earlier than that is clipped; units the gateway refuses are recorded and not retried. Everything is fetched by product (every expiration, so every contract's volume is known) and only the front contract of each session is stored: the contract with the most volume in the session before. The roll table per product (
rolls/GC.json, /api/fetch/rolls?root=GC) says which contract every session belongs to, so no row carries a mark. 1-second bars by contract and month under bars1s/, TBBO (every trade with the quote just before it, the tick database the engines read) under ticks/, the order events under mbo/.Run
—
The plana row per product; the levels to keep and, if you want, a later start than the plan's limit
| Ticker | Note | 1-second bars (L0) | from | TBBO (L1) | from | MBO (L3) | from |
|---|
What is stored
Nothing fetched yet.
Live session from Sierra
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Follows Sierra's own tick file for the configured contract while Sierra is connected and recording: catches up from the session's 18:00 New York start, then picks up every appended trade within the polling interval, with no misses (the file is Sierra's record and Sierra fills its own gaps; a rewrite behind the cursor triggers a resync that emits only what is new). The partial session is snapshotted into the database on a timer and on stop, so the simulator can run through the last snapshot; the day is replaced by the committed session once "Check missing data" and "Import" have run after the close.
Lag here is the time between a trade's exchange timestamp and the moment this app read it from the file. Most of it is Sierra's own buffering: it writes received data to the file every 5 seconds by default (measured 2026-09-29: p50 4.0 s, p95 6.8 s). Lower it in Sierra under Global Settings → Advanced Service Settings → General → "Intraday File Flush Time in Milliseconds" (for example 250); this tail polls every 100 ms. For a live trader the stream at
/api/sierra/live/stream delivers the same ticks as server-sent events. Sierra's DTC protocol server was the planned lower-latency path, but Sierra refuses CME Group symbols on it ("Market data request not allowed" for GCZ26-COMEX, to local and remote clients alike, verified 2026-09-29), so for gold the file is the live feed; the DTC client is kept for non-CME symbols.