Support Board
Date/Time: Mon, 16 Jun 2025 09:31:51 +0000
Post From: Unable to retrieve historical Level 2 (Market Depth) data beyond current day
| [2025-05-13 12:58:49] |
| John - SC Support - Posts: 40422 |
|
Does Sierra Chart support downloading historical Level 2 (market-by-order) data for CME futures?
Yes, you can download historical market depth data for CME futures. You can NOT download historical Market by Order data (individual limit orders that make up the Market Depth at a price level). If yes, does this require a specific service tier (e.g., Denali with Market Depth) or symbol setup?
You just need to have an exchange active that includes the Market Depth data. Are there hidden settings (per-symbol or per-service) that limit the amount of historical depth data?
There are no "hidden" settings, but there are a few settings that can affect the number of levels of market depth data available. Refer to the following, which gives you the places where these exist: File Menu: Not Receiving the Full Number of Market Depth Levels -- To solve your problem, follow the instructions at the following link. Note item #8 in particular to force a download of missing market depth data: Market Depth Historical Graph: Downloading Of Historical Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |