Support Board

Date/Time: Mon, 29 Apr 2024 02:59:52 +0000

Post From: Your Market Depth Studies have a MAJOR flaw!

[2023-01-22 00:28:57] Link To Thread - Link To Post [Go To First Post]
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The depth files all seem to be OK after a re-download. However, I have encountered a new problem. Right-clicking on an intraday chart and selecting "Download Depth Data From Date-Time" does not work for spreads. Furthermore, I have tested the depth files for various calendar spreads that my instance recorded this week, and they all have missing records. I have confirmed that "Global Settings >> Symbol Settings >> Record Market Depth Data" is set to "yes" for both "CL?##_FUT_CME" and "CL?##-CL?##.FUT_SPREAD.CME," for example. When I initiate a re-download from an intraday chart for CL, the message log shows messages about downloading depth files, and the files are updated accordingly. However, when I initiate a re-download from an intraday chart for a spread, nothing appears in the message log, and no data is downloaded. I have the same setup in my chartbook for both CL and the CL spread: a 30-minute intraday chart and a DOM for each. After reviewing the documentation, I don't see any relevant setting that is different between the two. Given that the spread files are initially incomplete and I do not have a way to re-download them, it seems there is no way to get accurate depth files for spreads. I have tested this across several symbols.