Do we need to ground the shield wire in Modbus RTU communication?

I have a project that connects 14 I/O expansion modules using Modbus RTU. In my setup, I cut off all the shield wires and didn’t connect them to ground. Our project also doesn’t have a separate grounding system for the signal part. But I see the system still works normally.

Now I’m thinking maybe I can use twisted-pair cable without shield to save cost — is it okay to do that?
Right now I’m using this cable: Heizka 18AWG Shielded Cable 1 Pair.
The price is quite cheap — should I keep using it, or should I use Belden cable instead?

If you are running at 9600 baud it probably won't matter. Go much faster, and you likely will want the shield, and it should be grounded on one end. (Note: signal ground should not be close to motor or other power systems grounds.) You may also want terminating resistors.

An oscilloscope will show you how clean your waveforms actually are. (Little spikes in each direction right at polarity changes are artifacts of no termination.)

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That cable is not data cable, if a cable is designed for data use, you will see characteristic impedance included in the specifications. RS485 is specified to have a characteristic impedance of 120ohms.

While you can get away with using bad cable on RS485 networks, the cost you save on installation will be eclipsed by the cost of troubleshooting when you have the first fault on the network. The cheapest cable I normally find that is super close to the correct spec is actually Cat5e Ethernet cable.

This is critical, the amount of systems that fault because of ground loops due to installers not understanding this is huge.

Also good advice, if you have anything over 4 devices on a network, my default is to terminate.
Also pay attention to network load, from memory there is a 32 device limit to RS485 comms without signal repeaters.

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