Support Board
Date/Time: Wed, 19 Nov 2025 00:22:09 +0000
L2 DEPTH DATA
View Count: 36
| [2025-11-17 08:14:36] |
| User936721 - Posts: 25 |
|
Hello I hope you can help I am back testing a study that uses L2 data (Denali). My set up is as follows: I trade on a broker account - and that market data is OK. I have set up SC to allow SC data feeds On chart I have a quick link to download historical depth I'm unsure if there are breaks in the existing market depth files so ideally I want to delete all .depth files and then start a reply from say 1st Sept - pause and request a market depth download from that point to gather fresh market depth files and hen at least I know the .depth files should be complete Could you please confirm if that is the correct approach? Thank you |
| [2025-11-18 18:16:15] |
| John - SC Support - Posts: 43046 |
|
This is definitely NOT the correct approach. First, do not delete any depth files. That does not help at all. Second, we only have data going back 6 months for Market Depth data. So you can not get anything older than that, which is another reason not to delete the depth files. If you want to download Market Depth data from a particular point in time in case you are missing some, then follow the instructions at Step #8 at the following link: Market Depth Historical Graph: Downloading Of Historical Market Depth Data If you are using a Continuous Futures Contract, then you can not download market depth data for a previous contract. If you need the data for a previous contract, then you need to open that contract itself in a chart and then you can download the market depth data for that contract per the above. You will then have that data available in the Continuous Contract chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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