Support Board
Date/Time: Mon, 20 Apr 2026 01:40:14 +0000
MARKET DEPTH LEVEL
View Count: 227
| [2026-03-05 00:56:00] |
| User166249 - Posts: 21 |
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I know that the depth level data markets are not available on the history if they were not previously recorded. However, I am allowing myself to ask you if SIERRA does not make the data available. Indeed jen if needed to run my machine learning model. thank you |
| [2026-03-05 14:23:03] |
| John - SC Support - Posts: 45686 |
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We have historical market depth data available going back about 6 months. 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 |
| [2026-03-07 01:04:05] |
| User166249 - Posts: 21 |
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Hi thank you for you answer. do you know someone who have severals years stored? even to sell... best regards |
| [2026-03-09 14:19:05] |
| John - SC Support - Posts: 45686 |
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Databento might have it. But you would have to create the correct files for the data in order to be able to use it in Sierra Chart. Refer to the following: Market Depth Data File Format For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-03-16 19:45:08] |
| User166249 - Posts: 21 |
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Hi so historical market depth data is available for about 6 months 1) and time and sales too ? (price, size, volume, time, bid ask, total size) 2) what is the difference beetween historical market depth and market depth data? thank you |
| [2026-03-16 22:02:59] |
| John - SC Support - Posts: 45686 |
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1) and time and sales too ? (price, size, volume, time, bid ask, total size)
Sort of. The actual time and sales records are not available. But that data is part of every trade, so you can create a 1 tick chart and therefore see the equivalent of the Time and Sales for a symbol going back as far as there is historical data available. 2) what is the difference beetween historical market depth and market depth data?
Nothing really. Just "historical market depth" is market depth that is not the current flowing depth data. It has been stored off to be accessed later. It is the same concept as real-time data and historical 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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