Support Board
Date/Time: Wed, 29 Jul 2026 19:01:09 +0000
Post From: Market Depth (DOM) shows empty or incorrect values during Replay
| [2026-07-28 16:47:31] |
| User808121 - Posts: 3 |
|
Hello Sierra Chart Support Team, I am trying to run a Replay session on ESU6.CME[M] to backtest a strategy, but I cannot get the Market Depth (DOM) to display correctly during Replay. Instead of showing the historical order book, the DOM shows only a value of "1" at a single price level, or is completely empty at most levels. Here is exactly what I have done, step by step: 1. In Symbol Settings for ES?#.CME, I enabled "Record Market Depth Data" (set to "yes") and set "Number of Depth Levels to Subscribe" to 40, then clicked Apply/OK (see attached screenshot 1). I believe I enabled this setting at the beginning of this month (early July 2026) — I am not sure if this matters, but I wanted to mention it in case Market Depth needs to have been actively recording BEFORE the period I am now trying to replay. 2. I opened the Replay Chart dialog and selected "Standard Replay" as the Replay Mode, since the other replay modes (Calculate Same as Real Time, Accurate Trading System Back Test Mode, Calculate At Every Tick/Trade) did not work at all for my setup (see attached screenshot 2). 3. After starting Standard Replay, a "Clear Trade Data" dialog appeared. I selected "Do Not Clear Trade Data for Symbol and Account" and clicked OK (see attached screenshot 3). 4. After this, the DOM only shows the value "1" at one price level, or nothing at all at the other levels — this is clearly incorrect and not usable for backtesting order flow. My questions: 1. Does "Record Market Depth Data" need to have been enabled BEFORE the historical period I am trying to replay, in order for that depth data to exist and be replayable? If so, would this explain why my current Replay shows an empty/incorrect DOM for periods before early July 2026? 2. What am I missing in my configuration to properly replay historical Market Depth data (so the DOM shows during Replay exactly as it appeared historically)? 3. Are there additional settings required (e.g., under Global Settings > Data/Trade Service Settings, or specific Replay settings) to ensure full Market Depth history is available and replayed correctly? Any guidance on the correct settings to properly replay the DOM would be greatly appreciated. Best regards, Caleb |
Private File Private File Private File |