Support Board
Date/Time: Sun, 07 Jun 2026 04:03:00 +0000
Post From: historical market depth (DOM / bid-ask ladder) data
| [2026-06-07 01:04:19] |
| User664561 - Posts: 38 |
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Hi, I'm doing quantitative research that requires historical market depth (DOM / bid-ask ladder) data, not just historical price/volume bars. I've been recording live depth locally since early May 2026, but I need depth history going further back — ideally into 2022 — for the following CME/CBOT/NYMEX futures: ES (E-mini S&P 500, CME) CL (Crude Oil, NYMEX) UB (Ultra US Treasury Bond, CBOT) Could you tell me, for each of these: How far back is historical market depth available for download from Sierra Chart's servers? (I understand this may differ from how far back regular price/volume history goes — I'm specifically asking about the depth/DOM data.) How many price levels does the historical depth contain? (I need up to 10 levels of bid and ask. Does historical depth provide the same depth as the live feed, or fewer levels?) What is the data format of downloaded historical depth — is it the same .depth file format as locally recorded depth, or a different historical archive format? Is historical depth download included in my current data package/subscription, or is it a separate service? If separate, what is the cost structure? Are there any options I should know about for obtaining deeper or longer depth history — e.g. a premium historical data tier, a one-time historical depth purchase, partnership with a depth data provider, or any way to request depth history for a specific symbol/date range that isn't otherwise stored? Is there any difference in historical depth availability between these three instruments specifically, or between exchanges (CME vs CBOT vs NYMEX)? The most important thing for me is understanding the earliest available date and number of levels for each instrument, since that determines whether Sierra Chart's historical depth covers my research window or whether I need to source it elsewhere. Thank you, |