Support Board
Date/Time: Fri, 13 Nov 2026 02:36:30 +0000
Programmatic Access to Historical Market Depth (.depth) Files
View Count: 13
| [2026-11-13 01:05:18] |
| User213942 - Posts: 2 |
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I'm using Sierra Chart with CME ES futures and have enabled native market-depth recording. I'm developing a Python research pipeline to analyze historical individual market-depth updates, including bid/ask price changes, displayed quantities, and order-flow imbalance. I noticed that the Market Depth Data File Format documentation has been removed. Could you clarify: 1. Is there a currently supported API or export method for accessing individual historical market-depth updates, rather than bar-level summaries? 2. Is the current `.depth` binary file format specification available for developers? 3. If direct file access is unsupported, what method do you recommend for exporting historical depth updates with their original timestamps and ordering? Thank you. |
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