Support Board
Date/Time: Wed, 17 Dec 2025 00:46:46 +0000
Post From: Historical Market Depth Replay Failing / Download Starting From Today Instead of Historica
| [2025-12-16 07:16:37] |
| Pamazu - Posts: 3 |
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Hello Sierra Chart Support, I am having a recurring problem with historical market depth replay for both ES and 6E futures, and I think I have more precise information from the Message Log. Instruments and data: 1. Symbols: ES and 6E (CME), tested with both individual contract symbols and continuous futures symbols 2. Data feed: Denali, full market depth enabled 3. Real‑time market depth: Works normally for both ES and 6E Main problem: 1. When I try to download and replay historical market depth from about 1–2 months ago, the depth data does not appear during replay. 2. Sometimes I get the popup: “Historical Depth Data Download Failed. Error downloading historical Market Depth data for [symbol]. The type of error was unspecified.” 3. Other times there is no error popup and the download seems to complete, but there is still no DOM data for the historical period. Workflow: 1. Open an intraday chart for the contract (for example, ESZ5_FUT_CME). 2. Move the chart (or replay it) to a date in the past, e.g. 2025‑11‑20. 3. Use the command “Download Depth Data from Date‑Time” (assigned to a menu). What the Message Log shows: 1. Even though the chart is positioned at 2025‑11‑20, the Message Log lines for the depth download show a Start date‑time equal to today’s date and time (for example 2025‑12‑16 at the current clock time). 2. The log confirms that the depth file created (e.g. ESZ5_FUT_CME.2025-12-16.depth) only contains data starting from today’s date/time, not from the historical date I am trying to replay. 3. As a result, when I replay 2025‑11‑20 there is no depth data available, even though the depth download completed without an error in that case. Additional information: 1. This affects both ES and 6E, continuous and non‑continuous symbols. 2. When I first started experimenting with this, I was able to load depth from 1–2 months ago; now, using the same workflow, I cannot. 3. Reconnecting, restarting Sierra Chart, and testing new charts does not change the behavior. 4. My SierraChart MarketDepthData folder contains a lot of market depth data for 6E. It has a lot of duplicated market depth data, it seems. Could I share with you a zip file with all my data? I suspect there's a conflict with a lot of duplicated marketdepthdata in the folder? Not sure. Questions: 1. Is it expected that “Download Depth Data from Date‑Time” uses the current system date/time instead of the chart’s visible/replay date‑time? 2. If not, what could cause the start date‑time for historical depth downloads to always be today instead of the replay date (e.g. 2025‑11‑20)? 3. Could there be a configuration or symbol‑settings issue that prevents Sierra from requesting depth from the historical timestamp, or is this a bug? 4. Are there any specific steps you recommend (Message Log settings, screenshots, or particular options to check) to diagnose why the depth download is not aligned with the chart’s historical date? Thank you so much for your help! |