Support Board
Date/Time: Mon, 16 Jun 2025 08:40:55 +0000
Unable to retrieve historical Level 2 (Market Depth) data beyond current day
View Count: 272
| [2025-05-13 05:41:04] |
| User252419 - Posts: 236 |
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Questions Does Sierra Chart support downloading historical Level 2 (market-by-order) data for CME futures? If yes, does this require a specific service tier (e.g., Denali with Market Depth) or symbol setup? Are there hidden settings (per-symbol or per-service) that limit the amount of historical depth data? If historical depth isn’t supported, is there a known workaround or upgrade path to access at least 10 days of data? Service Details Service Package: Integrated Advanced MBO (SC Data) Denali Feed: CME E-mini for users without a trading account (Option 7) – active Symbol: MESM25-CME (Micro E-Mini S&P 500) Data Service in Sierra Chart: SC Data / Trading Evaluator (tried both) Problem Description I’ve successfully connected to the Denali CME E-mini feed and can view live Level 2 data. However, when I attempt to load historical intraday depth (market by order) on an intraday chart, I only see today’s data (what was recorded locally). Sierra Chart doesn’t download any prior depth records. Configuration Summary Chart Settings → Symbol Automatically Rollover Futures Symbol: Tried both No and Yes Continuous Contract: Set to "Continuous Futures Contract – Date Rule Rollover" Chart Settings → Market Depth Maximum Market Depth Data Days To Load: 10 Maximum Market Depth Levels: 0 (to show all) Global Data/Trade Service Settings → Common Settings Intraday Data Storage Time Unit: 1 Tick Max Historical Intraday Days to Download (Non-Tick and Tick): 186 each Tried both SC Data and Trading Evaluator connections; no change in behavior. Expected Behavior I should be able to view at least the last 10 calendar days of full market-by-order history (Level 2) for MESM25-CME — ideally up to the 186-day limit set in my configuration. Actual Behavior When scrolling back or using navigation tools like “Go to Beginning of Chart” or “Go to Date-Time,” the depth graph is blank prior to today. No depth history loads beyond what’s captured locally. Troubleshooting Already Done Verified that the Denali feed is active (CME E-mini with MBO support). Restarted Sierra Chart and used "Delete and Download Data From Current Position to End" to force redownload. Switched between continuous and fixed contract symbols. Thank you for your help! |
| [2025-05-13 12:58:49] |
| John - SC Support - Posts: 40422 |
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Does Sierra Chart support downloading historical Level 2 (market-by-order) data for CME futures?
Yes, you can download historical market depth data for CME futures. You can NOT download historical Market by Order data (individual limit orders that make up the Market Depth at a price level). If yes, does this require a specific service tier (e.g., Denali with Market Depth) or symbol setup?
You just need to have an exchange active that includes the Market Depth data. Are there hidden settings (per-symbol or per-service) that limit the amount of historical depth data?
There are no "hidden" settings, but there are a few settings that can affect the number of levels of market depth data available. Refer to the following, which gives you the places where these exist: File Menu: Not Receiving the Full Number of Market Depth Levels -- To solve your problem, follow the instructions at the following link. Note item #8 in particular to force a download of missing market depth data: 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 |
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