Support Board
Date/Time: Mon, 23 Mar 2026 20:02:40 +0000
Post From: Market Depth Data Dump
| [2026-02-04 22:33:49] |
| skalaydzhiyski - Posts: 125 |
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P.S. Ignore my previous request, although I would like to have an option where we could just download the market depth data from Sierra for the Continuous Rollover Futures Symbol currently loading in the chart from ACSIL, I think I have found a workaround. In the Symbol Settings: 1. Tick this -> Use Custom Symbol Settings Value 2. Find your symbol 3. Set Record Market Depth Data to -> yes 4. Set Market Depth Levels to Subscribe -> N (integer) 5. Click Apply 6. Open a chart for Symbol with the given pattern and then market depth data is downloaded, i.e. ALL market .depth files are downloaded for the loaded symbol in the chart directly without them cluterring your RAM ! For anyone who wants to use .depth for ML research - follow the above aproach, works like a charm! You will need to merge this data with the .scid data though if you want to have full orderbook state + time and sales, but this is perfectly doable with something like Claude Code nowadays. Enjoy :) Date Time Of Last Edit: 2026-02-04 22:34:13
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