Support Board
Date/Time: Sat, 25 Jul 2026 04:31:35 +0000
historical market depth (DOM / bid-ask ladder) data
View Count: 325
| [2026-06-07 01:04:19] |
| User664561 - Posts: 38 |
|
Hi, I'm doing quantitative research that requires historical market depth (DOM / bid-ask ladder) data, not just historical price/volume bars. I've been recording live depth locally since early May 2026, but I need depth history going further back — ideally into 2022 — for the following CME/CBOT/NYMEX futures: ES (E-mini S&P 500, CME) CL (Crude Oil, NYMEX) UB (Ultra US Treasury Bond, CBOT) Could you tell me, for each of these: How far back is historical market depth available for download from Sierra Chart's servers? (I understand this may differ from how far back regular price/volume history goes — I'm specifically asking about the depth/DOM data.) How many price levels does the historical depth contain? (I need up to 10 levels of bid and ask. Does historical depth provide the same depth as the live feed, or fewer levels?) What is the data format of downloaded historical depth — is it the same .depth file format as locally recorded depth, or a different historical archive format? Is historical depth download included in my current data package/subscription, or is it a separate service? If separate, what is the cost structure? Are there any options I should know about for obtaining deeper or longer depth history — e.g. a premium historical data tier, a one-time historical depth purchase, partnership with a depth data provider, or any way to request depth history for a specific symbol/date range that isn't otherwise stored? Is there any difference in historical depth availability between these three instruments specifically, or between exchanges (CME vs CBOT vs NYMEX)? The most important thing for me is understanding the earliest available date and number of levels for each instrument, since that determines whether Sierra Chart's historical depth covers my research window or whether I need to source it elsewhere. Thank you, |
| [2026-06-08 14:37:08] |
| John - SC Support - Posts: 47330 |
|
How far back is historical market depth available for download from Sierra Chart's servers? (I understand this may differ from how far back regular price/volume history goes — I'm specifically asking about the depth/DOM data.)
Officially, we have 6 months of historical market depth data, but we might have up to 1 year for some products. You would have to check each product individually for what is available. But we do not have anything more than 1 year of historical market depth data for any product. How many price levels does the historical depth contain? (I need up to 10 levels of bid and ask. Does historical depth provide the same depth as the live feed, or fewer levels?)
Up to 1400 levels, the same as we have available in real-time data. What is the data format of downloaded historical depth — is it the same .depth file format as locally recorded depth, or a different historical archive format?
It is the same format. The historical data is stored in .depth files just like real-time data. Is historical depth download included in my current data package/subscription, or is it a separate service? If separate, what is the cost structure?
The historical market depth data for the CME Group is available with any package. There is no dependency on the data you subscribe to - you do not need to subscribe to any data to get the historical market depth data. Are there any options I should know about for obtaining deeper or longer depth history — e.g. a premium historical data tier, a one-time historical depth purchase, partnership with a depth data provider, or any way to request depth history for a specific symbol/date range that isn't otherwise stored?
Additional data is not available. Is there any difference in historical depth availability between these three instruments specifically, or between exchanges (CME vs CBOT vs NYMEX)?
No. 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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