Support Board
Date/Time: Wed, 04 Feb 2026 21:41:36 +0000
Market Depth Data Dump
View Count: 24
| [2026-02-04 18:29:08] |
| skalaydzhiyski - Posts: 121 |
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Hi SC, Following up from my previous thread (Market Depth Historical Data)... I was advised that more than 1 year of depth data is not supported and I believe this is fine with me, because I can build my dataset as time goes by. What I want to ask is - is there a way for me to get ALL the depth data for a given instrument without manually having to load the chart and using the mouse to select the date range with Download Depth Data From DateTime. For example if I want to download the data for ES for the last 1 year, how do I do that in "one go" ? Is there a standard way of achieving this or do I need to submit a special request for Sierra ? I would expect to get a zip file of all the .depth files for a given instrument for a given year (I can do the rollover adjustments with custom Python code on my side so not required). This will be ultra useful for automated strategy development without having to Pay providers like Data Bento for something I am already paying for. All the best, |
| [2026-02-04 21:16:22] |
| John - SC Support - Posts: 44433 |
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For example if I want to download the data for ES for the last 1 year, how do I do that in "one go" ?
There is not a way to do this in "one go". You would have to download the data for each individual contract by opening a chart for each contract and then forcing the download for that contract. And then you would have to have a custom study that would access the Market Depth data and then export/print/save it for you. Refer to the following: ACSIL Interface Members - Functions: sc.GetAskMarketDepthEntryAtLevel Is there a standard way of achieving this or do I need to submit a special request for Sierra ?
See our information above. There is no "special request" that you could make to us to get the data in another format. You would have to download it into your Sierra Chart software as mentioned above. I would expect to get a zip file of all the .depth files for a given instrument for a given year
This is not how it works. See the information given previously. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-04 21:31:32] |
| skalaydzhiyski - Posts: 121 |
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Yeah I know how to do it the hard way, but this is bottlenecked by my RAM as Sierra needs to load the data into the chart :( If there was a sc.DownloadMarketDepthDataFromStartDateTime() function or something along those lines i can have a study that loads relevant start, end datetime intervals in the chart programatically, then download depth data, then go to next interval etc.. in a loop. Can I request this feature please, it should just be a matter of exposing the functionality of the already existing Right Click option for downloading depth data through ACSIL? All the best Date Time Of Last Edit: 2026-02-04 21:32:56
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