Support Board
Date/Time: Sun, 12 Apr 2026 22:54:28 +0000
Depth Recording in v2882 (Teton CME Routing) – No .depth File Created
View Count: 360
| [2026-02-25 10:31:56] |
| User782165 - Posts: 19 |
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Hello, Sierra Chart version: 2882 Service: Teton CME Routing Clearing Firm: AMP Real-time connection is active. DOM shows 10 levels of depth. Intraday Data Storage Time Unit = 1 Tick. Chart symbol: MESH26_FUT_CME. No DataFilesFolder override (DataFilesFolder.txt is empty). However, no separate .depth file is being created in the Data folder. In Global Settings → Symbol Settings, the exact symbol name MESH26_FUT_CME does not appear explicitly (only server-provided entries are listed). Questions: In version 2882, is market depth still recorded as a separate .depth file, or is it embedded in the .scid intraday file? Where is depth recording controlled in this version (service level, symbol level, or automatic when Intraday Data Storage Time Unit = 1 Tick)? How can I verify that depth is actually being recorded and will be available for replay? If something is misconfigured, please advise exactly which setting must be changed and where, so the issue can be resolved. I would appreciate guidance on how to properly resolve this. Thank you. |
| [2026-02-25 14:55:20] |
| John - SC Support - Posts: 45586 |
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Market Depth data is not automatically recorded. You need to tell the system to do this. Refer to the following, specifically the third bullet point in the top of the section: Replaying Charts: Replaying of Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-26 12:52:40] |
| User782165 - Posts: 19 |
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Thank you for the clarification. I understand that market depth data must be explicitly enabled. In my current configuration: - Record Market Depth Data is enabled. - Number of Depth Levels to Subscribe is set to 10. - Live DOM clearly shows 10 levels on both Bid and Ask. - Intraday Data Storage Time Unit is set to 1 Tick. - Connected to SC Data with Teton CME Routing. However: - During Chart Replay, only 2 depth levels are displayed. - I do not see a separate .depth file being created in the Data folder. Full depth replay (10 levels) is critical for my order flow analysis and DOM review workflow, so I need to ensure that depth is being properly recorded. Could you please clarify: 1) Is market depth still recorded as a separate .depth file in the current version, or is it embedded inside the .scid file? 2) What exact setting controls depth recording (Global, Service, or Symbol level)? 3) How can I definitively verify that all 10 depth levels are actually being recorded and will be available during Replay? If something is still misconfigured, please specify exactly which setting must be changed and where. Thank you. |
| [2026-02-26 15:30:01] |
| John - SC Support - Posts: 45586 |
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1) Is market depth still recorded as a separate .depth file in the current version, or is it embedded inside the .scid file?
Separate files are still created in the "MarketDepthData" folder under the "Data" folder. 2) What exact setting controls depth recording (Global, Service, or Symbol level)?
Depth recording is only ever done on a per symbol basis. So you either need to have the "Market Depth Historical Graph" on a chart for that symbol, or you need to setup the symbol for "Record Market Depth Data" to be set to "Yes". 3) How can I definitively verify that all 10 depth levels are actually being recorded and will be available during Replay?
If you have everything setup properly, then this should automatically occur. You can get an idea of what has been recorded by looking at the files in the "MarketDepthData" folder under the "Data" folder and seeing what days have data for a specific symbol. You can also add the "Market Depth Historical Graph" to a chart to see where Market Depth data has been recorded. Keep in mind, that no matter what you do, the market depth will only be recorded when your Sierra Chart software is running and you are getting data for that symbol. So if you turn it off at night, you will not have the market depth data stored when it is off. -- Pick one symbol for which you want to save the market depth data. Select "Global Settings >> Symbol Settings" and find that symbol in the list on the left. On the right, find the entry for "Record Market Depth Data". Make sure this is set to "Yes". The general instructions for editing symbol settings is here: Global Symbol Settings: Instructions And make sure the option for "Use Custom Symbol Settings Values" in the top left of the Symbol Settings window is enabled. Refer to the following: Global Symbol Settings: Use Custom Symbol Settings Values (Global Settings >> Symbol Settings) Then after you close the symbol settings window, select "File >> Reconnect". You should have the market depth data being saved from that point forward. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-27 07:14:27] |
| User782165 - Posts: 19 |
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Subject: Market Depth Not Being Recorded / CME Invalid Symbol / Platform Freezing Hello, I would like to describe the exact sequence of events and ask for clarification. 1. I configured Market Depth recording according to your instructions: - Global Settings → Symbol Settings - Enabled Use Custom Symbol Settings Values - Set Record Market Depth Data = Yes - Set Number of Depth Levels to Save = 10 2. After doing this, I checked the folder: Data → MarketDepthData and noticed that no .depth file was being created. 3. We then discovered that the chart and the DOM were not using identical symbols (one was Continuous [CV], the other was a different format). I corrected this so that both chart and DOM use the exact same symbol. 4. After correcting the symbol and performing File → Reconnect, Sierra began attempting to download Historical Intraday data and started showing: "Historical Intraday Data Download Failed Error downloading historical Intraday data for MESH26-CME. Error: invalid symbol" 5. Since then: - EUROSTOXX (EUREX) works normally. - CME symbols (e.g., MESH26-CME) do not update. - No Market Depth file is created. - The DOM for CME does not move. - The platform becomes unresponsive when loading CME charts. - Help → About shows: Denali Data Feed Supported: Yes Delayed Data Feed: Yes Denali Authorized Realtime Exchanges: CME (Trading Account Required) 6. Trade Account Monitor shows a connected trading account. At this point, Sierra Chart is effectively frozen for CME symbols, while EUROSTOXX continues to function normally. Questions: 1. Why was no Market Depth file created initially when everything appeared configured correctly? 2. Why does reconnecting now produce “invalid symbol” for a standard Denali CME symbol (MESH26-CME)? 3. Does “CME (Trading Account Required)” indicate that CME Realtime is not fully authorized? 4. What exact configuration is required in order to: - Receive CME Realtime data, - Download Historical Intraday data, - Record Market Depth properly for Replay? Please advise the correct configuration sequence to restore CME functionality. Thank you. |
| [2026-02-27 15:52:00] |
| John - SC Support - Posts: 45586 |
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What is "Global Settings >> Data/Trade Service Settings >> Main Settings >> Current Selected Service" set to?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-27 17:04:39] |
| User782165 - Posts: 19 |
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Global Settings >> Data/Trade Service Settings >> Main Settings >> Current Selected Service is set to SC Data [data].
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| [2026-02-27 17:26:56] |
| User782165 - Posts: 19 |
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Hi John, Current Selected Service is set to Teton CME Routing [trading]. I am attaching a screenshot from Help → About Sierra Chart. It shows: https://www.sierrachart.com/image.php?Image=1772213059632.png Denali Authorized Realtime Exchanges: CME (Trading Account Required) Delayed Data Feed: Yes MES is still not updating. Please advise. |
| [2026-02-27 17:44:20] |
| User782165 - Posts: 19 |
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Hi John, Apologies — the previous image link was incorrect. Please see the correct screenshot from Help → About Sierra Chart here: https://www.sierrachart.com/image.php?Image=1772214116265.png Thank you. |
| [2026-02-27 20:06:05] |
| John - SC Support - Posts: 45586 |
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Please select "File >> Market Depth Window" and get us an image of that window.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-28 11:04:04] |
| User782165 - Posts: 19 |
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Hi John, Please find attached the screenshot of File → Market Depth Window: https://www.sierrachart.com/image.php?Image=1772276602534.png Thank you. |
| [2026-03-02 14:16:46] |
| John - SC Support - Posts: 45586 |
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The reason you are not getting any files saved, is that you are not getting any market depth data. Although it is very odd that you would actually be getting nothing - you should have at least the Best Bid and Ask (1 level). Please do the following: First - relogin to your Sierra Chart software using the "Force Login" option. Refer to the following: Sierra Chart - Software Login Instructions: Forced Login Second - go through the items at the following link and see if you have something set that is causing the market depth to not get downloaded: File Menu: Not Receiving the Full Number of Market Depth Levels For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-03-05 11:38:11] |
| User782165 - Posts: 19 |
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Hello, I would like to report a problem and describe in detail the process I performed so you can help identify the issue. I reinstalled Sierra Chart and configured the system to record Market Depth data in order to use Replay together with the DOM. These are the steps I performed: 1. I verified that the data connection is active. The status line shows that I am connected to Teton CME Routing and Denali Data Feed. 2. I opened a chart for the symbol **MES (Micro E-mini S&P 500)**. 3. I enabled Market Depth recording with the setting: Chart Settings → Symbol → Record Market Depth Data = Yes, and configured **a depth of 10 levels**. 4. I added the study **Market Depth Historical Graph** to the chart. 5. I checked the data folder and confirmed that the **MarketDepthData** folder exists. 6. I verified that a **.depth** file was created for the symbol, which indicates that Market Depth data is being recorded. In addition, I could see the depth recording markings on the chart, confirming that Market Depth data was indeed being recorded, so there was no need to disconnect and reconnect the data feed. After that, I ran **Chart Replay** and confirmed that: * The chart replay worked correctly. * The DOM moved as expected. * Market Depth data appeared during the replay. Up to this point everything worked correctly. However, after I closed Sierra Chart using **File → Save All**, and then restarted the platform, the problem appeared. When Sierra Chart opens again: * The connection appears active. * Charts load normally. * But **there is no movement in the charts**. * Market data does not update. In other words, the platform opens but behaves as if the data is frozen. I would also like to note that I am very disappointed with this situation. I paid for the service specifically in order to use this functionality, and we have already spent a considerable amount of time trying to resolve this issue without success. I hope we can find a solution soon. Thank you for your cooperation and assistance. Best regards, Avner |
| [2026-03-05 14:34:18] |
| John - SC Support - Posts: 45586 |
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When you have the issue of the data not moving, then get us your Message Log by following these instructions: Support Board Posting Information: How to Post Your Message Log (Required In Some Cases) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-03-05 16:14:07] |
| User782165 - Posts: 19 |
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Hello John, Thank you for your response. As requested, I am providing the complete Sierra Chart Message Log. The issue occurs after restarting Sierra Chart. The charts load normally and the connection appears active, but there is no movement in the market data. Below is the full Message Log. 2026-03-05 16:03:32.427 | Trade activity files set size: 7 2026-03-05 16:03:32.536 | Reading Internal Order ID file. 2026-03-05 16:03:32.537 | Reading Trade Orders file. 2026-03-05 16:03:32.538 | Reading Trade Positions file. 2026-03-05 16:03:32.538 | Reading Trade Account Data files. 2026-03-05 16:03:32.544 | Software version: 2887 64-bit 2026-03-05 16:03:32.544 | Primary Thread ID: 24736 2026-03-05 16:03:32.544 | Usage end date: 2026-03-12 2026-03-05 16:03:32.544 | Enabled for: Advanced Features 2. 2026-03-05 16:03:32.544 | Enabled for: Sierra Chart Historical Data Service. 2026-03-05 16:03:32.544 | Enabled for: Denali Real-Time Exchange Data Feed. 2026-03-05 16:03:32.544 | Enabled for: Delayed Denali Exchange Data Feed. 2026-03-05 16:03:32.544 | Enabled for exchange2: CME (Trading Account Required) 2026-03-05 16:03:32.544 | Enabled for exchange2: CBOT (Trading Account Required) 2026-03-05 16:03:32.544 | Enabled for exchange2: COMEX (Trading Account Required) 2026-03-05 16:03:32.544 | Enabled for exchange2: NYMEX (Trading Account Required) 2026-03-05 16:03:32.544 | Allow Support for Sierra Chart Data Feeds is enabled. 2026-03-05 16:03:32.544 | Current selected Data/Trading service: Teton CME Routing 2026-03-05 16:03:32.544 | Custom symbol settings values: enabled 2026-03-05 16:03:32.544 | Chart Update Interval: 400 2026-03-05 16:03:32.544 | Intraday Data Storage Time Unit: 1 2026-03-05 16:03:32.544 | Time Zone: +00:00:00 (UTC+00) 2026-03-05 16:03:32.544 | 2026-03-05 16:03:32 Local computer time in UTC 2026-03-05 16:03:32.544 | 2026-03-05 16:03:32 Local computer time in SC Time Zone 2026-03-05 16:03:32.544 | 2026-03-05 16:03:22 Server time in UTC 2026-03-05 16:03:32.544 | Local computer UTC time and Server UTC time difference: 9 seconds. 2026-03-05 16:03:32.544 | Notice: Your computer's clock is off by 9 seconds. Set the 'Global Settings >> NTP Settings >> NTP Client Enable' to 'Yes'. 2026-03-05 16:03:32.544 | Program path: C:\SierraChart\ 2026-03-05 16:03:32.544 | Data Files path: C:\SierraChart\Data\ 2026-03-05 16:03:32.544 | OS Version Number: 10.0 2026-03-05 16:03:32.544 | Locale Setting: C 2026-03-05 16:03:32.544 | Crash reporter started: true 2026-03-05 16:03:32.544 | 2026-03-05 16:03:32.610 | Checking for new symbol settings. Requested symbol settings MD5 for service code sc_futures_direct.dtc.trading. Request ID: 1. 2026-03-05 16:03:32.621 | HTTPS connection ID:1 to login.sierrachart.com:443 for request ID:1 (1) | Shutdown started. Waiting for graceful close. 2026-03-05 16:03:32.779 | HTTPS connection ID:1 to login.sierrachart.com:443 for request ID:1 (1) | Socket gracefully closed by remote side. 2026-03-05 16:03:32.779 | HTTPS connection ID:1 to login.sierrachart.com:443 for request ID:1 (1) | Closed. 2026-03-05 16:03:33.101 | Received 5 login tokens. 2026-03-05 16:03:33.318 | Symbol settings MD5 received. Request ID: 1. 2026-03-05 16:03:33.318 | Symbol settings are up-to-date for sc_futures_direct.dtc.trading. 2026-03-05 16:03:35.101 | Requested user files to download. 2026-03-05 16:03:37.113 | 2026-03-05 16:03:37.114 | Teton CME Routing | Firm: AMP 2026-03-05 16:03:37.119 | Teton CME Routing | Connecting to the server futurestrading14.sierracharts.com. Port 11067 2026-03-05 16:03:37.248 | DTC Client socket (1) | Creating socket. Using TLS 1.2. 2026-03-05 16:03:37.249 | DTC Client socket (1) | New receive buffer size: 0 2026-03-05 16:03:37.249 | DTC Client socket (1) | Connecting to IP: 216.200.108.154. 2026-03-05 16:03:37.413 | Teton CME Routing | Network connection to server complete. 2026-03-05 16:03:37.413 | Teton CME Routing | Starting socket receive thread. 2026-03-05 16:03:37.413 | Teton CME Routing | Sending encoding request to server: Binary VLS. Compression: none 2026-03-05 16:03:37.904 | Teton CME Routing | Setting DTC encoding to Binary VLS 2026-03-05 16:03:37.904 | Teton CME Routing | Sending logon request message. 2026-03-05 16:03:38.120 | Teton CME Routing | Received logon response. 2026-03-05 16:03:38.120 | Teton CME Routing | Server Name: SC DTC Server. Build=55065. 2026-03-05 16:03:38.120 | Teton CME Routing | Server protocol version: 8. Client protocol version: 8 2026-03-05 16:03:38.120 | Teton CME Routing | Successfully connected. Connected to SC DTC Protocol server. Service=cme_ilink3.trading|SymbolSettings=cme_ilink_live.trading. 2026-03-05 16:03:38.120 | Teton CME Routing | Trading is supported. 2026-03-05 16:03:38.120 | Teton CME Routing | Order cancel and replace is supported. 2026-03-05 16:03:38.120 | Teton CME Routing | OCO Orders supported. 2026-03-05 16:03:38.120 | Teton CME Routing | Bracket Orders supported. 2026-03-05 16:03:38.120 | Teton CME Routing | MarketDepthIsSupported: 1 2026-03-05 16:03:38.120 | Teton CME Routing | Connection to server complete. 2026-03-05 16:03:38.122 | No download requests in the queue to start downloads for. | Number times message added: 3 2026-03-05 16:03:38.123 | Teton CME Routing | Performing query for most recent Order Activity Date-Time. 2026-03-05 16:03:38.128 | Teton CME Routing | Requesting historical order activity from server. Start date-time UTC: 2026-03-04 15:27:21.719956 2026-03-05 16:03:38.285 | Updated verified funded futures trading account ending date to: 2026-04-04 16:03:38 2026-03-05 16:03:40.355 | Files to Open on Startup | Opening file: MES.cht 2026-03-05 16:03:40.448 | MESH26_FUT_CME 1 Min #3 | Reloading chart. 2026-03-05 16:03:40.729 | Loading market depth data. 2026-03-05 16:03:40.852 | Using symbol data fast lookup vector 2026-03-05 16:03:40.852 | Teton CME Routing | Starting real-time market data updates for: MESH26_FUT_CME. ID: 1 2026-03-05 16:03:40.852 | Teton CME Routing | Subscribing to streaming market data in the service client is not supported. Symbol: MESH26_FUT_CME 2026-03-05 16:03:40.852 | Teton CME Routing | Requesting security definition data for: MESH26_FUT_CME. ID: 1 2026-03-05 16:03:40.852 | Requesting market depth updates for: MESH26_FUT_CME if supported. NumLevels=10 2026-03-05 16:03:40.852 | Separate subscription for market depth updates not supported. MESH26_FUT_CME 2026-03-05 16:03:40.852 | No historical data client is currently set to download historical Intraday data for MESH26_FUT_CME. 2026-03-05 16:03:40.852 | Real-time Intraday chart data file updates started for MESH26_FUT_CME 2026-03-05 16:03:40.853 | Opened cached Intraday file: C:\SierraChart\Data\MESH26_FUT_CME.scid. Thread ID: 24736 2026-03-05 16:03:40.853 | Intraday chart data file opened for MESH26_FUT_CME 2026-03-05 16:03:41.014 | Teton CME Routing | Setting external service identifier for symbol MESH26_FUT_CME to 42003800 2026-03-05 16:03:41.014 | Teton CME Routing | Received security definition for symbol MESH26_FUT_CME 2026-03-05 16:03:42.393 | Loaded depth data records for MESH26_FUT_CME 2026-03-04 from 2026-03-04 13:45:34.278000 to 2026-03-04 16:00:51.985000. 2026-03-05 16:03:42.395 | MESH26_FUT_CME 1 Min #3 | StartDateTimeForLoadingOrderFills: 00:00:00 2026-03-05 16:03:42.420 | MESH26_FUT_CME 1 Min #3 | Chart data loading complete. 2026-03-05 16:03:58.283 | ExtendTheFundedTradingAccountStatusExpirationDate: Sending request. 2026-03-05 16:03:59.139 | ExtendTheFundedTradingAccountStatusExpirationDate | Result: {"Result":"The Funded Trading Account Status Expiration Date is more than 25 days into the future. The Date is currently: 2026-04-02"}. Success=true |
| [2026-03-05 16:28:12] |
| User782165 - Posts: 19 |
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Hello John, I have sent the chart image. The link is below: https://www.sierrachart.com/image.php?Image=1772727939413.png The chart still does not move even though the market is open. |
| [2026-03-05 18:42:03] |
| John - SC Support - Posts: 45586 |
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There is nothing in your log that shows any issues. Please go through the items at the following link for possible reason you would have this occur - our guess is that it is related to the Session Times: Intraday Chart or Chart Bars Not Updating | Blank Intraday Chart | "Currently no data to display" message for Intraday Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-03-07 09:57:23] |
| User782165 - Posts: 19 |
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Hello John, This is related to the issue I described where the chart appears frozen and does not update. I am trying to understand whether this could be related to how I exit Sierra Chart when Market Depth recording is active. My setup: * Denali Data Feed * Market Depth recording enabled * I see the light shading on the chart indicating depth is being recorded. What I do: 1. The chart runs normally and depth recording is active. 2. I exit Sierra Chart directly (close the program). 3. When I later reopen Sierra Chart, the chart appears frozen and does not update. My question: Could the frozen chart be related to exiting Sierra Chart directly while Market Depth recording is active? Should the correct procedure be: File → Disconnect (wait a few seconds) File → Exit Or is it acceptable to exit Sierra Chart directly while recording depth? I want to make sure I am closing the platform correctly when recording Market Depth, and whether this could explain the frozen chart after restarting. Thank you. |
| [2026-03-09 14:45:46] |
| John - SC Support - Posts: 45586 |
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Whatever is occurring has no relation to the recording of Market Depth data. It does not matter what method you use to exit from Sierra Chart. When your charts are not updating, the first thing is whether you have a notice on the chart that data is downloading, or anything along those lines. In this case, you need to wait for those messages to go away, as the system is busy getting data, so the chart will not update until all the data is downloaded. If the above is not the case and the charts are not moving at all, then you need to go through the items in the link given previously. Here it is again: Intraday Chart or Chart Bars Not Updating | Blank Intraday Chart | "Currently no data to display" message for Intraday 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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