Support Board
Date/Time: Wed, 04 Feb 2026 20:13:05 +0000
Market Depth Data Dump
View Count: 9
| [2026-02-04 18:29:08] |
| skalaydzhiyski - Posts: 120 |
|
Hi SC, Following up from my previous thread (Market Depth Historical Data)... I was advised that more than 1 year of depth data is not supported and I believe this is fine with me, because I can build my dataset as time goes by. What I want to ask is - is there a way for me to get ALL the depth data for a given instrument without manually having to load the chart and using the mouse to select the date range with Download Depth Data From DateTime. For example if I want to download the data for ES for the last 1 year, how do I do that in "one go" ? Is there a standard way of achieving this or do I need to submit a special request for Sierra ? I would expect to get a zip file of all the .depth files for a given instrument for a given year (I can do the rollover adjustments with custom Python code on my side so not required). This will be ultra useful for automated strategy development without having to Pay providers like Data Bento for something I am already paying for. All the best, |
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