Support Board
Date/Time: Wed, 05 Feb 2025 18:05:57 +0000
Replaying Market Depth Data with Continuous Contract
View Count: 176
| [2025-01-12 13:20:48] |
| wiivanil - Posts: 12 |
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When replaying a date before the last rollover I can't see market depth data. For example, I'm replaying ESH25_FUT_CME with Continuous Contract, volume based rollover. If the replay start at 2024-12-01 I can't see market depth data. If the replay start at 2024-12-16 I can see market depth data. I have market depth data (.depth) from december, and the chart is set with Maximum Market Depth Data Days To Load = 60 Thank you Ivan Date Time Of Last Edit: 2025-01-12 13:36:59
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| [2025-01-13 17:31:41] |
| John - SC Support - Posts: 37756 |
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The rollover will be around December 15, 2024, so prior to that date you are looking at the data for the ESZ24_FUT_CME symbol. You would need to ensure that you have Market Depth data downloaded for that particular time and contract. In order to download the historical market data data we have available for that contract, you would need to load that specific contract as a separate chart and then force a download of the market depth data by following Step #8 at the following link (and the other steps if you have not previously set this up): Market Depth Historical Graph: Downloading Of Historical Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-14 06:54:34] |
| wiivanil - Posts: 12 |
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Hi John, I've downladed the market depth data for the contract ESZ24_FUT_CME in a separate chart. Now I see Market Depth Historical Graph colors but I can't see the numbers on the Trading Chart DOM On. Also I can see the numbers in separate trading DOM windows for chart. See attached image. Thanks Ivan |
 Immagine 2025-01-14 075128.png / V - Attached On 2025-01-14 06:54:05 UTC - Size: 63.96 KB - 27 views |
| [2025-01-14 16:51:36] |
| John - SC Support - Posts: 37756 |
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The only thing we can think of is that this is a coloring issue. Are you able to view the Market Depth data in the Chart DOM when you are not running a replay?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-14 17:02:59] |
| wiivanil - Posts: 12 |
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Yes, when I’m not running a replay I can see the Market Depth Data. Today, after trying a replay I couldn’t see the data also in real time. So I’ve made a new chart and that solve the issue. But, if I start e new replay the problem happen again. The problem happen only with old market depth data, for what I can tell. Or with downloaded Market Depth data. But for now I’m ok, I don’t really need to replay older market depth data. Thank you Ivan |
| [2025-01-14 18:33:00] |
| John - SC Support - Posts: 37756 |
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Please get us a chart that shows this issue by following these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-14 19:26:41] |
| wiivanil - Posts: 12 |
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Now I only see the Market Depth data on the Sell Column, but they are not moving. Replay 2024-12-01 08:10:00 with Chicago time zone. See the attached chart. Thank you |
Private File |
| [2025-01-14 22:57:21] |
| John - SC Support - Posts: 37756 |
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We are not seeing any particular issue with the chart that you sent us. We want to make sure this does not have anything to do with colors, so please get us another chart by doing the following: - Duplicate the chart you want to send to us to another Chartbook (or, if you still have the chartbook you sent us, then use that Chartbook). - With that chart active, select "Chart >> Graphics Settings - Chart". - Deselect the option for "Use Global Graphics Settings Instead of these Settings" (make sure there is NOT a checkmark next to this). - Select the button at the bottom that states "Copy from Global". Save that chartbook and then attach it to this thread. This will ensure that the Global Graphics as you have them setup for the chart are also what is reflected in the Chart you send us. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-15 08:28:56] |
| wiivanil - Posts: 12 |
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I've also made a video so you can check what I see http://e.pc.cd/8omy6alK See the attached chart |
Private File |
| [2025-01-15 17:28:11] |
| John - SC Support - Posts: 37756 |
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This is very odd, and we do not have a reason for what you are seeing. Offhand, it appears the Market Depth data is incorrect, but if we are understanding the Trade DOM that is displayed, then this can not be situation (more on this below). We do not see it in the video, but does that specific chart have a "Trade and Current Quote" symbol set for it (Chart >> Chart Settings >> Symbol >> Trade and Current Quote Symbol)? Also, in the video, it looks like the Trading DOM is also replaying, and it looks like it is the same symbol (we can not tell for sure). Please verify that the Trading DOM is replaying properly and the Bid/Ask Market Depth is updating properly in that Trading DOM. Also, is the Trading DOM the same symbol as the chart? Is there a "Trade and Current Quote" symbol setup in that Trading DOM? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-15 17:54:18] |
| wiivanil - Posts: 12 |
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The chart have a ESH25_FUT_CME symbol and the Trade and Current Quote setting is empty. The Trading DOM was opend from File >> Open Trading DOM from Chart and replayed with the chart. But I forgot to set the continuos contract setings. I've made another video, this time you can see the settings. During the replay I noticed that the chart DOM is diplaying the data but it is far from the price of the bar chart. You can see it on the new video http://e.pc.cd/22my6alK |
| [2025-01-15 18:35:01] |
| John - SC Support - Posts: 37756 |
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This is actually good that these are showing the same issue. It means that the Market Depth data for that time period is not correct. We can not say why it is wrong, but as you can see from how it is displaying, it is just not correct. The only way to fix this is to delete the Market Depth data file for that time period, which will be one day of data. The Market Depth data files are located in a folder named "MarketDepthData" under the 'Data' folder under your main Sierra Chart installation. Make sure that you have exited from Sierra Chart before removing the file that covers the time period you are replaying. Then force a download of the Market Depth data again as noted previously. Let us know if you continue to have an issue after doing this. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-15 20:09:53] |
| wiivanil - Posts: 12 |
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I've deleted the Market Depth data and re-downloaded. The problem persist. But if I made a replay with the ESZ24_FUT_CME symbol instead the ESH25_FUT_CME symbol the Market Depth data are ok. I'll do this way. Thank you |
| [2025-01-15 22:15:08] |
| John - SC Support - Posts: 37756 |
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What is "Chart >> Chart Settings >> Symbol >> Continuous Futures Contract" set to?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-01-16 06:55:22] |
| wiivanil - Posts: 12 |
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Volume Based Rollover, Back Adjusted
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