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Date/Time: Tue, 14 May 2024 09:14:07 +0000

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Post From: SOFR futures depth data - not receiving

[2024-03-23 15:37:50]
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ticinotrader - Posts: 378
@Chad

Couple things/links:

CME Daily Vol/OI: https://www.cmegroup.com/market-data/browse-data/exchange-volume.html
CME SR3 Vol/OI: https://www.cmegroup.com/markets/interest-rates/stirs/three-month-sofr.volume.html

They clearly show that the daily volume/OI of interest rate futures/options (a large part of which is SR3) is a multiple of other futures contracts (interest rate OI is more than twice as large as the other futures combined).

I recently posted a request asking the SC team to make the full market depth of the SR3 available in SC (instead of the limited 5 levels that were available before):
SR3 Futures contracts

Shortly after my request, the full depth data started to flow into my DOMs, so I guess the SC team has already done that, and I am very grateful for that. But I also noticed that the historical depth data is still not available for SR3. I think it is coming soon, but probably SC support can confirm this more precisely.

In the meantime, I have to collect depth data 'manually' - this is what I have been doing for a long time (running an SC instance 24/7 on a server with chart DOMs open for each symbol I need depth for).

Comparing the file sizes you mention, the depth I have for SR3H24 8 March 2024 is 9.2MB. This is a depth file that I collected manually, and it still contains 5 levels (as that was all that was available at the time).

So I suspect that the file you have is the partial depth file for that day (not the full session) that you inadvertently recorded manually at a time when there were still 5 levels of depth available. I suspect it is not a historical depth file downloaded from SC servers.

Sorry for the long message, hope this helps. Probably SC support will be able to confirm this and provide some information on the availability of historical depth data.