Support Board
Date/Time: Thu, 20 Feb 2025 19:18:12 +0000
Market Depth Data replay issue
View Count: 265
| [2024-12-10 02:18:35] |
| User781731 - Posts: 47 |
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I have downloaded market depth data via “Download Depth Data from Date-Time”. In the “MarketDepthData” folder it goes back to 2024-11-09. When I try to use market replay starting from 2024-11-11 (the following Monday), there is no level 2 data: only “1” displays in the first 2 rows of both Bid and Ask columns. The earliest date on which I can get level 2 market depth to display in market replay is 2024-11-26. Is there a way I can get level 2 market depth to work between 11-11 and 11-25? Also, how much historical market depth data is accessible? I’ve read on your website 60 days but it only lets me download 30 days and as I’ve explained only 2 weeks actually works in replay. I’m trying to do this on ZB, ZN, ZF, UB symbols. These are my settings (on both standard chart and DOM chart): * Chart > Chart Settings > Market Depth (Maximum Market Depth Data Days to Load: 90) * Chart > Chart Settings > Data Limiting (Days to Load for Intraday Chart Type: 100) I have followed the steps here: Market Depth Historical Graph: Market Depth Historical Graph Not Displaying Date Time Of Last Edit: 2024-12-10 03:43:57
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| [2024-12-10 03:45:36] |
| User781731 - Posts: 47 |
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I’ve just tried doing the market depth data replay on these symbols: FGBS, FGBM, FGBL, FGBX and used the exact same settings as above and on these it only displays full market depth from 2024-12-05, despite the depth files from 2024-11-10 being downloaded to the MarketDepthData folder.
Date Time Of Last Edit: 2024-12-10 03:51:05
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| [2024-12-10 14:57:12] |
| John - SC Support - Posts: 38084 |
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You need to set the following option to be a number high enough to download the data back to the time you are wanting. Also, keep in mind that if you are using a Continuous Futures Contract and you are trying to download data for a previous contract, then you can not do this through the Continuous Contract chart. You need to open the previous contract into its own chart and then you can download the market depth data for that symbol. Once you have the market depth data, then you do not need that chart any longer. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-12-10 15:42:34] |
| User781731 - Posts: 47 |
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Thank you. I will follow these instructions. Can you please clarify how much historical market depth data should be accessible? Is it 30 or 60 days? |
| [2024-12-10 17:21:28] |
| John - SC Support - Posts: 38084 |
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There is at least 60 days. Honestly, I can never remember the exact amount, and I want to say that it is actually 6 months at this point. But please do not hold me to that. You are definitely safe with 60 days. Just keep in mind what we stated about Continuous Contracts previously. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-12-11 07:57:34] |
| User781731 - Posts: 47 |
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Thanks. I have done the following: For ZB, ZN, ZF, UB, opened the current contract (H25) and in a separate chart opened the previous contract (Z24). Went back to August > right clicked > clicked “Download Depth Data from Date-Time”. (I chose August just to see how much it would capture.) The earliest date that will download is 1 November 2024. This is only 40 days. Why won’t it download a full 60 days? The full market depth does work from this date when I do the replay. However, the market depth data is out of alignment with where it should be relative to price (see screenshot). *** For FGBS, FGBM, FGBL, FGBX, opened the current contract (H25) and in a separate chart opened the previous contract (Z24). Went back to August > right clicked > clicked “Download Depth Data from Date-Time”. (I chose August just to see how much it would capture.) The earliest date that will download is 10 November 2024. This is 31 days. Why won’t it download a full 60 days? And why is this 31 days when the other is 40? The settings between the two chartbooks are all the same. Also, the full market depth for these symbols only works from 9 December; so the files download from 10 November but market depth doesn’t actually show in replay until 9 December. Between 10 November and 8 December, there is only the first level and each column has 1 in it. *** To summarise, there are 3 issues: 1) 60 days depth data is not being downloaded 2) For many of the depth files that do download, the depth data doesn’t even show 3) There is a misalignment with the depth numbers and current price (screenshot) |
 Screenshot.png / V - Attached On 2024-12-11 07:56:26 UTC - Size: 512.3 KB - 47 views |
| [2024-12-11 16:42:45] |
| John - SC Support - Posts: 38084 |
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1. We see we neglected to give you a link in a previous post. You need to set the following to be large enough to go back as far as you want: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) 2. We are not sure. Be sure to download the depth data and use the "Market Depth Historical Graph" to see if there is any particular data missing. 3. If that was when you first started the replay and you had not actually run the replay at all, then this would just be the system not having loaded the right information yet. You need to let the replay run for a few seconds for everything to "catch up" and start showing the proper information. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-12-12 10:35:23] |
| User781731 - Posts: 47 |
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Thank you. That definitely helps a lot. The problem I’m having right now is that only 1 of the 4 DOMs is showing full depth, despite all of the charts/DOMs having the same settings and the same date files being downloaded. See screenshot (far right shows full depth, the others are empty). I have played for 10 minutes in case they just took a while to catch up but it didn’t work. Do you have any ideas? |
| Screenshot 2024-12-12 at 21.34.01.png / V - Attached On 2024-12-12 10:34:23 UTC - Size: 604.79 KB - 37 views |
| [2024-12-12 15:38:00] |
| John - SC Support - Posts: 38084 |
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It is a bit odd, as typically you would see at least the Best Bid/Ask showing. Our best guess is that the number of days to load does not cover the time you are replaying. You are starting at November 4, 2024, so you need to make sure the DOM has enough days to go back to that time. You may need to force more data to be downloaded. Refer to the following: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Downloading/Viewing More Historical Intraday Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-12-13 02:09:16] |
| User781731 - Posts: 47 |
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Thanks again. I tried those steps but it didn’t fix the issue. However, I think the problem may be fixed now. While I did follow your instructions to download depth files from each individual contract rather than the continuous contract, until now I have been attempting to do replay on the continuous contract itself. I just tried doing replay on the individual contract (e.g. December 2024) and it appears to be working correctly on all DOMs now! Really appreciate your help. |
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