Support Board
Date/Time: Mon, 02 Mar 2026 13:42:11 +0000
Recording vs. downloading historical market depth data
View Count: 715
| [2026-01-15 11:50:59] |
| curious16 - Posts: 36 |
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Could you please clarify the role of the "Record Market Depth Data" entry in Global Settings > Symbol Settings. If you have historical market depth data subscribed, I'd assume that you don't need to record this data, you get it from the Denali feed together with the other market data. I suspect that recording market depth is an option for recording what happens live and building a history of depth if you do not have a subscription of depth data. It would be helpful to understand whether it ever makes sense at all to record market depth data if you have a depth data subscription. I see locally recording depth as a fragile workaround, as it will be easy to miss some depth data and have a patchy history whenever the connection drops. In summary: is there ever an advantage in setting record market depth data to YES when you subscribe to depth data? |
| [2026-01-15 17:02:29] |
| John - SC Support - Posts: 44849 |
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You would want to record the Market Depth data if you want to perform a replay and want to view the historical market depth data. This is automatically done for any symbol in which you have a Market Depth Historical Graph displayed on a chart for that symbol. You may not have all the data by recording it in this manner, but it does help to ensure that you have most of the data you are wanting for a replay. There is the ability to download historical market depth data, but there is only about 6 months of historical market depth data available to download. And, you would then have to wait for the data to actually download when you make the request. Refer to the following: 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 |
| [2026-01-15 17:27:49] |
| curious16 - Posts: 36 |
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Thank you for clarifying. Let me ask for further detail taking ES as an example. These contracts roll on a quarterly basis. That is, you would typically have around 90 days (maybe a bit more) of depth data for ESZ25, ESH26 etc. Does the 180 day limit mean you do not store more than that amount for any single contract. This may be a limitation for long-lived contracts (e.g. the December CL contracts) but not so much for the quarterly rolling ES contracts. Or does the 180 day limit mean you do not provide older contract data for back-testing. For instance, if I wanted to check how a trading method that uses depth data applies to ESH25, ESH24 etc. in the first quarter of these respective years, can you provide this depth data? It would be highly valuable to have this data even if it is necessary to download it from a separate server. I understand that depth data is quite voluminous and you will want to focus primarily on the current contracts that are actively traded. Is downloading and locally storing the currently traded contract data the only way to build a history of depth data? |
| [2026-01-15 19:02:51] |
| John - SC Support - Posts: 44849 |
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We have market depth data for all contracts going back about 6 months. There may be more than 6 months, but we can only promise that amount. So there would be data for both ESZ25 and ESH26 available. It is not about contracts, it is about the amount of time we hold it. Data is stored in daily files, so anything older than the amount of time we store for is simply removed. To download data for a specific contract, however, you need to open that contract. So if you have a Continuous Contract for ES and the current front month is ESH26, and you want Market Depth data going back to the ESZ25 contract, then you would need to open a chart for ESZ25 specifically, and download the data for that contract. Then it will be available to display in a Continuous Contract chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-01-15 20:10:38] |
| curious16 - Posts: 36 |
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Thank you for this further clarification. I tried to test this but so far failed. Specifically, I did the following: - Load a chart with ESH25 for the first two weeks of Jan 2025 using the "use date range" option in Chart Settings. This of course is a date range when ESH25 was actively traded. - The chart loads as expected, a popup that the contract is expired comes up (which is entirely correct) - Then a red message quickly pops up that the download of depth data failed as no depth data is available. I have attached a screenshot to illustrate the message. - I tried the same exercise using the Teton feed and using the SCData feed. I thought that, maybe, this does not work with Teton as the contract of course is expired and does not trade. However, I got the same result also with the SCData feed. - I then repeated the same test using the Feb 2025 gold contract (GCG25) and again got error messages indicating that no depth data is available. I also attached a screenshot. Could you please clarify what is going on and provide guidance how I can get depth data for these expired contracts? To be clear, I do not try to load a continuous contract, I use the single expired contract symbol in Chart Settings. |
 ESH25_SCData_noDepth_msg.jpg / V - Attached On 2026-01-15 20:09:59 UTC - Size: 20.01 KB - 32 views GCG25_SCData_noDepth_msg.jpg / V - Attached On 2026-01-15 20:10:06 UTC - Size: 23.65 KB - 27 views |
| [2026-01-15 20:45:50] |
| curious16 - Posts: 36 |
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Did I misunderstand your last message? Where you said you have data "going back 6 months" I read this as 6 months of history for every contract including expired contracts. Is this meant to be "6 months back from now", i.e., there will be some data for ESZ25, ESU25 but no data for ESM25? If that is the situation, the only way to get data for back-testing beyond 6 months is to download current contracts and store the depth data locally. If you can make older depth data available on a separate server that would be really helpful.
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| [2026-01-15 21:39:59] |
| John - SC Support - Posts: 44849 |
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Is this meant to be "6 months back from now", i.e., there will be some data for ESZ25, ESU25 but no data for ESM25
Yes, this is exactly what we are stating. So the fact that you are not able to get any market depth data for an H and G contract in 2025 makes sense, as the data for these contracts is more than 6 months ago. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-01-15 21:53:48] |
| curious16 - Posts: 36 |
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Is there any chance to get this older market depth data? You obviously did have older market depth data at some point in time but then removed it from your servers as it aged beyond the 6 months cutoff you mentioned. It would be helpful to get access to such older data for back-testing purposes even if this needs to be downloaded in a different way from a different source.
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| [2026-01-15 22:05:22] |
| John - SC Support - Posts: 44849 |
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The data is simply too large to keep for all the symbols. This is why we limit it to 6 months.
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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