Support Board
Date/Time: Tue, 16 Dec 2025 17:10:33 +0000
Historical Market Depth Replay Failing / Download Starting From Today Instead of Historica
View Count: 25
| [2025-12-16 07:16:37] |
| Pamazu - Posts: 2 |
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Hello Sierra Chart Support, I am having a recurring problem with historical market depth replay for both ES and 6E futures, and I think I have more precise information from the Message Log. Instruments and data: 1. Symbols: ES and 6E (CME), tested with both individual contract symbols and continuous futures symbols 2. Data feed: Denali, full market depth enabled 3. Real‑time market depth: Works normally for both ES and 6E Main problem: 1. When I try to download and replay historical market depth from about 1–2 months ago, the depth data does not appear during replay. 2. Sometimes I get the popup: “Historical Depth Data Download Failed. Error downloading historical Market Depth data for [symbol]. The type of error was unspecified.” 3. Other times there is no error popup and the download seems to complete, but there is still no DOM data for the historical period. Workflow: 1. Open an intraday chart for the contract (for example, ESZ5_FUT_CME). 2. Move the chart (or replay it) to a date in the past, e.g. 2025‑11‑20. 3. Use the command “Download Depth Data from Date‑Time” (assigned to a menu). What the Message Log shows: 1. Even though the chart is positioned at 2025‑11‑20, the Message Log lines for the depth download show a Start date‑time equal to today’s date and time (for example 2025‑12‑16 at the current clock time). 2. The log confirms that the depth file created (e.g. ESZ5_FUT_CME.2025-12-16.depth) only contains data starting from today’s date/time, not from the historical date I am trying to replay. 3. As a result, when I replay 2025‑11‑20 there is no depth data available, even though the depth download completed without an error in that case. Additional information: 1. This affects both ES and 6E, continuous and non‑continuous symbols. 2. When I first started experimenting with this, I was able to load depth from 1–2 months ago; now, using the same workflow, I cannot. 3. Reconnecting, restarting Sierra Chart, and testing new charts does not change the behavior. 4. My SierraChart MarketDepthData folder contains a lot of market depth data for 6E. It has a lot of duplicated market depth data, it seems. Could I share with you a zip file with all my data? I suspect there's a conflict with a lot of duplicated marketdepthdata in the folder? Not sure. Questions: 1. Is it expected that “Download Depth Data from Date‑Time” uses the current system date/time instead of the chart’s visible/replay date‑time? 2. If not, what could cause the start date‑time for historical depth downloads to always be today instead of the replay date (e.g. 2025‑11‑20)? 3. Could there be a configuration or symbol‑settings issue that prevents Sierra from requesting depth from the historical timestamp, or is this a bug? 4. Are there any specific steps you recommend (Message Log settings, screenshots, or particular options to check) to diagnose why the depth download is not aligned with the chart’s historical date? Thank you so much for your help! |
| [2025-12-16 07:40:01] |
| Pamazu - Posts: 2 |
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Update with new findings (paths and error message): I kept testing and noticed some extra behavior that may help diagnose the problem: When I switch from ES to 6E while replaying a past date/time and request depth, a different error appears: “Historical Depth Data Download Failed. Error downloading historical Market Depth data for 6EZ25_FUT_CME. No market depth data files found. Path: F:\cme_exchange_marketdepth.data\” I don't have any F: drive at all, so this path does not exist. This makes me think Sierra is referencing an incorrect location for market depth data. In Global Settings → General Settings → Paths, my Market Depth Data Path is correctly set to: C:\SierraChart\Data\MarketDepthData\ I have not changed this path recently, and it does not reference F:\ anywhere. Because of this, it seems that Sierra is getting F:\cme_exchange_marketdepth.data\ from somewhere other than the standard Paths settings. I have only a single Sierra Chart installation on C:\SierraChart. Could you please: Confirm whether there are any other configuration files, service settings, or symbol settings that could be forcing Sierra to use F:\cme_exchange_marketdepth.data\ for historical depth, especially for 6E? Advise how I can clear or correct that reference so all historical depth downloads use my configured path C:\SierraChart\Data\MarketDepthData\ and, if available, the Denali historical depth server? |
| [2025-12-16 15:18:22] |
| John - SC Support - Posts: 43488 |
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The reference to the F: drive is for our servers. It is stating that it can not find the file on our servers, so you can ignore that (we'll come back to why we think you are getting this message). You mention that you are having this issue with a Continuous Contract and without a Continuous Contract. When you are using a Continuous Contract and you make a request to download the Market Depth data, that is always going to be for the current contract. The system does not understand the Continuous Contract with regards to downloading the market depth data. So if you want data for a time where a previous contract was used, you would need to open a chart for that specific contract and download the Market Depth data for that contract. We think this is why you are getting the error related to Z 2025 contract for 6E (we assume you have rolled over to the H 2026 contract). Also, keep in mind that we only have historical market depth data for about 6 months. There may be more for some symbols, but in general you should assume that we only have data for 6 months. Also check the following setting to ensure that it is set high enough to get the data going back to where you want to get it from: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) And, although we are not certain if you are doing this, do not request Market Depth data download when actually running a replay. We are not certain if this will work. 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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