Support Board
Date/Time: Thu, 28 Nov 2024 21:47:47 +0000
Market Depth Historical Graph - gaps and missing data
View Count: 366
| [2023-04-03 15:59:47] |
| PhiX - Posts: 36 |
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I have Denali with CME (ES) market depth. When I replay a chart from 2022-12-01 to the present (2023-03-31) there are periods of time with 600-700 levels of depth, some periods with only 5 levels and sometimes only 1 level with a Bid/Ask of 1. Examples: 2023-01-03 displays 700 levels throughout the trading session then abruptly around 8:50 on 2023-01-04 only 5 levels then On 2023-01-05 around 8:00 it reverts back to 673 levels. From 11:04 on 2022-12-07 to 16:31 on 2022-12-13 there is only 1 level with an Ask/Bid of 1. 2023-01-09 to 2023-01-25 - 1 level, Bid/Ask = 1 2023-02-22 to 2023-03-02: 1 level, Bid/Ask = 1 https://www.sierrachart.com/image.php?Image=1680437372152.png Edit - I looked at the depth files in the MarketDepthData folder and many were over 100MB in size but the file for Dec 7, 2022 was only 13.5MB. There were about the same number of files less than 10MB as there were over 100MB...the rest were in-between. I deleted every ES depth file under 100MB then reopened the chartbook/chart I uploaded the (Dec 7, 2022) image from. The redownloaded depth files were the same as before...many files under 10MB and the new Dec 7, 2022 file was the same 13.5MB. Am I missing something or is there an issue with the data? Date Time Of Last Edit: 2023-04-03 16:00:54
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| [2023-04-05 13:47:22] |
| John - SC Support - Posts: 36350 |
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The first thing is that if you are using a Continuous Contract, the Market Depth Data is only going to download for the front contract. It is not going to download for the previous contracts. If you need historical Market Depth data for previous contracts, then you would have to open the specific contracts and force the download of the market depth data for that contract. Also, be aware of the setting in the Sierra Chart Server Settings that controls the number of days of downloads for historical market depth data. Refer to the following: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-04-05 13:57:12] |
| PhiX - Posts: 36 |
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OK got it. Thanks.
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