Support Board
Date/Time: Tue, 07 Jan 2025 12:51:21 +0000
Post From: Depth market data for backtesting
| [2024-12-11 21:24:20] |
| John - SC Support - Posts: 37037 |
|
I only have DOM's so does that mean that market depth data is automatically downloaded? And i can access it going forward anytime. This is what i understood from the following line in the documentation
"When the Market Depth Historical Graph is on a chart, the Market Depth data is automatically stored." Since you only are using DOMs you do not have the "Market Depth Historical Graph" study on the DOM, therefore the Market Depth data is not automatically stored. You would need to setup the symbols for your DOMs to record the Market Depth Data, or you would need to rely on downloading the historical market depth data we have available (refer to 3rd bullet in the same section you referenced). If 6-months of market depth data is stored i can access the recent 6-months data today? Also what happens post 6-months does the data get replaced by new 6-months or can i store this data for myself so that i can have a years data i can retrieve it later?
Yes, you can access the 6 months of data today. It is a rolling 6 months that is stored, so as a new day is added the oldest day is removed. So it is always 6 months of data going back from today. You will need to store the data yourself as noted above and in the section for replaying the Market Depth data. Once you have the older data, then you can replay 12 months with the Market Depth data. For continuous contract if i setup regular charts (no DOMs) then even for previous expired contract i am getting message that market depth data will be downloaded starting at 2024-12-09 and not earlier than that (see attached screenshot)
Refer to the last two paragraphs in Post #2 above. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |