Support Board
Date/Time: Sat, 19 Sep 2026 14:23:24 +0000
Loading third-party historical market depth data (.depth files) beyond the 90-day
View Count: 17
| [2026-09-19 11:43:04] |
| User877866 - Posts: 26 |
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Hello, I'm trying to review market depth data older than the 90 days Sierra Chart makes available for download. I'd like to load historical depth from a third-party vendor (for example, full-book equity data) into Sierra Chart. I've decoded one of my own .depth files using your "Market Depth Data File Format" documentation (attached: vero_MBO_2026-01-27.depth) and have some questions before I build a converter. 1. Is loading externally generated .depth files supported? If I write valid .depth files (one per day, per the documented format) into the MarketDepthData folder, will Sierra Chart load and display them in the Market Depth Historical Graph and other depth features? Are any other files or index data required besides the .depth file? 2. Is there a way to get more than 90 days of historical market depth, either from Sierra Chart or by purchase? Is the limit different for US stocks and futures? 3. In the attached file, which exchange feed is the depth recorded from? The snapshots hold up to about 50 bid levels and 239 ask levels, so it isn't capped at 10 levels. I want a converter to reproduce the same book structure. 4. The file contains records at price 0.0001 on the bid side and 199999 on the ask side (82 records in total). What do these represent, and should a converter reproduce them? 5. Snapshot timing: the documentation says a full snapshot is written every 10 minutes. In my file the median gap is 10 minutes, but the gaps range from 0.2 minutes to about 472 minutes. Are snapshots only written when there is depth activity, and does Sierra require them at a fixed interval when loading a file? 6. Prices are stored as 32-bit floats. Should prices be rounded to the symbol's tick size when writing them, and are there any other precision or ordering rules (for example, timestamp order within a batch, or the required use of the end-of-batch flag)? My setup: - Sierra Chart version: [2953] - Data feed: [Total View] - Symbol in the attached file: VERO Thank you for your help. |
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