Support Board
Date/Time: Sun, 11 Jan 2026 22:04:22 +0000
Post From: Market Depth Historical Data
| [2026-01-09 21:03:42] |
| skalaydzhiyski - Posts: 111 |
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Hi SC, I want to request a feature to Download more than 6 months of market depth data. I would not mind paying one off for a data dump of 50 or so levels of depth data. I need it for machine learning modelling. I can do this with DataBento, but I don't like the fact that i have to convert the data using custom scripts into the .depth format. This introduces a level of complexity that is unnecessary given how well Sierra already handles Market Depth data. I cant be the only one who would like this as a feature... I cannot imagine storage cost being the problem... being able to go back to 2020 for example and experience 100s of 5 sigma events from an orderflow point of view would be amazing. All the best Date Time Of Last Edit: 2026-01-09 21:06:48
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