Support Board
Date/Time: Wed, 29 Jul 2026 19:05:37 +0000
Market Depth (DOM) shows empty or incorrect values during Replay
View Count: 34
| [2026-07-28 16:47:31] |
| User808121 - Posts: 3 |
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Hello Sierra Chart Support Team, I am trying to run a Replay session on ESU6.CME[M] to backtest a strategy, but I cannot get the Market Depth (DOM) to display correctly during Replay. Instead of showing the historical order book, the DOM shows only a value of "1" at a single price level, or is completely empty at most levels. Here is exactly what I have done, step by step: 1. In Symbol Settings for ES?#.CME, I enabled "Record Market Depth Data" (set to "yes") and set "Number of Depth Levels to Subscribe" to 40, then clicked Apply/OK (see attached screenshot 1). I believe I enabled this setting at the beginning of this month (early July 2026) — I am not sure if this matters, but I wanted to mention it in case Market Depth needs to have been actively recording BEFORE the period I am now trying to replay. 2. I opened the Replay Chart dialog and selected "Standard Replay" as the Replay Mode, since the other replay modes (Calculate Same as Real Time, Accurate Trading System Back Test Mode, Calculate At Every Tick/Trade) did not work at all for my setup (see attached screenshot 2). 3. After starting Standard Replay, a "Clear Trade Data" dialog appeared. I selected "Do Not Clear Trade Data for Symbol and Account" and clicked OK (see attached screenshot 3). 4. After this, the DOM only shows the value "1" at one price level, or nothing at all at the other levels — this is clearly incorrect and not usable for backtesting order flow. My questions: 1. Does "Record Market Depth Data" need to have been enabled BEFORE the historical period I am trying to replay, in order for that depth data to exist and be replayable? If so, would this explain why my current Replay shows an empty/incorrect DOM for periods before early July 2026? 2. What am I missing in my configuration to properly replay historical Market Depth data (so the DOM shows during Replay exactly as it appeared historically)? 3. Are there additional settings required (e.g., under Global Settings > Data/Trade Service Settings, or specific Replay settings) to ensure full Market Depth history is available and replayed correctly? Any guidance on the correct settings to properly replay the DOM would be greatly appreciated. Best regards, Caleb |
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| [2026-07-28 19:59:09] |
| John - SC Support - Posts: 47381 |
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1. Does "Record Market Depth Data" need to have been enabled BEFORE the historical period I am trying to replay, in order for that depth data to exist and be replayable? If so, would this explain why my current Replay shows an empty/incorrect DOM for periods before early July 2026?
Yes and no. You should be recording the data if you are wanting to replay it. But we do have 6-12 months of Historical Market Depth data available, so you can force a download of our historical market depth data if you do not have what you want/need. Refer to the following: Market Depth Historical Graph: Downloading Of Historical Market Depth Data And refer to the following regarding replaying of Market Depth data: Replaying Charts: Replaying of Market Depth Data 2. What am I missing in my configuration to properly replay historical Market Depth data (so the DOM shows during Replay exactly as it appeared historically)?
See answer above. 3. Are there additional settings required (e.g., under Global Settings > Data/Trade Service Settings, or specific Replay settings) to ensure full Market Depth history is available and replayed correctly?
Not with regards to the replay itself. Once you have the proper data, then it will replay. But, a few things you need to be aware of with regards to getting historical market depth data. - The download is only going to be for the current symbol of the chart. If you are using a Continuous Futures Contract and you want to replay starting at a previous contract and you want to get the market depth data for that previous contract, then you need to open a chart for that specific contract and force the download of the market depth data for that contract. - Make sure the following setting is set high enough to go back as far as you are wanting to download the historical market depth data: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) 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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