Support Board
Date/Time: Wed, 15 Oct 2025 21:55:30 +0000
ES Market Depth Data File (.depth) unexpected prices
View Count: 47
| [2025-10-14 21:03:49] |
| DarkNature - Posts: 7 |
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Hi Sierra Chart Support, I'm decoding the Market Depth Data File (.depth) with a custom study I made. I re-downloaded the depth file multiple times to rule out corruption and have the Maximum Market Depth Level setting set to 50 in Sierra Chart. Approximately 99% of all rows I read in the depth files have updates with commands ADD/MODIFY within around ±50 ticks of the current price at the time of the depth record. But occasionally I see commands like ADD/MODIFY in the records thousands of points away from the price at the time of the record. For example, this is from the last 50000 depth records I converted. (just the unexpected commands) Current price is around 6785.50: CMD_ADD_BID_LEVEL for price: 2500.00 CMD_ADD_BID_LEVEL for price: 2000.00 CMD_ADD_BID_LEVEL for price: 1500.00 CMD_ADD_BID_LEVEL for price: 1000.00 CMD_ADD_BID_LEVEL for price: 4 CMD_DELETE_BID_LEVEL for price: 4 Do you have any idea why that could happen, or is that expected behavior from the data feed? [SC Data] I even noticed today an ADD command for an ask price at 66232.00, which is very unusual for the ES future. It would be nice if you could share your opinions with me, maybe there is a technical explanation for why far away prices are sometimes modified or updated. Thank you for any help. |
| [2025-10-15 02:21:57] |
| Sierra_Chart Engineering - Posts: 21140 |
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These are from orders being submitted by participants. This is all. We cannot provide any further help. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-10-15 02:22:08
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