Support Board
Date/Time: Thu, 26 Feb 2026 07:32:56 +0000
Market Depth Historical Data
View Count: 649
| [2026-01-09 21:03:42] |
| skalaydzhiyski - Posts: 125 |
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Hi SC, I want to request a feature to Download more than 6 months of market depth data. I would not mind paying one off for a data dump of 50 or so levels of depth data. I need it for machine learning modelling. I can do this with DataBento, but I don't like the fact that i have to convert the data using custom scripts into the .depth format. This introduces a level of complexity that is unnecessary given how well Sierra already handles Market Depth data. I cant be the only one who would like this as a feature... I cannot imagine storage cost being the problem... being able to go back to 2020 for example and experience 100s of 5 sigma events from an orderflow point of view would be amazing. All the best Date Time Of Last Edit: 2026-01-09 21:06:48
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| [2026-01-09 21:54:24] |
| Sierra_Chart Engineering - Posts: 23028 |
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Sierra Chart does have more than 6 months of market depth data. How many months do you require?
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 |
| [2026-01-09 21:58:53] |
| skalaydzhiyski - Posts: 125 |
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Wow really? Ideally I would want to download (even if it takes 10 hours) 10 levels bid and 10 levels ask for ZN, ZT from 2020 to today, is there a standard way to do it ?
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| [2026-01-12 02:55:57] |
| Sierra_Chart Engineering - Posts: 23028 |
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The most that we will have will be about one year. It depends upon the exchange. So the historical market depth data will not go back to the year 2020. 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: 2026-01-12 02:56:12
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| [2026-01-12 09:29:31] |
| skalaydzhiyski - Posts: 125 |
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Ah... Do you think downloading more than 1 year of deptg is a valuable feature to include in future releases ? I understand it might not be trivial to implement years of depth data but I am pretty sure other people (especially on the quant side) would appreciate it a lot. All the best Date Time Of Last Edit: 2026-01-12 09:30:12
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| [2026-02-13 07:39:16] |
| Sierra_Chart Engineering - Posts: 23028 |
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Yes we will work towards that capability.
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 |
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