Support Board
Date/Time: Sat, 06 Jun 2026 23:09:43 +0000
Historical Data with MBO
View Count: 419
| [2026-04-19 03:51:35] |
| trader88 - Posts: 35 |
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Can I get historical data including MBO?
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| [2026-04-19 06:46:44] |
| Sierra_Chart Engineering - Posts: 23949 |
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There is no historical market by order data provided.
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 |
| [2026-04-19 17:15:56] |
| trader88 - Posts: 35 |
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Thank you for the answer. My other question is: Do you provide historical market depth (MBP / Level 2) recordings for CME futures (e.g., ES/MES)? Specifically, can I download historical top-N price-level book snapshots and updates (not just trades and BBO) going back multiple years? If yes, how far back, and in what format (SCID, depth files, etc.)? |
| [2026-04-20 00:42:30] |
| trader88 - Posts: 35 |
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I am trying to get tick-by-tick data for 2022-01-01 -- 2022-12-31 and no data is loaded. Need help.
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| [2026-04-20 02:15:35] |
| Sierra_Chart Engineering - Posts: 23949 |
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Historical market depth data is available, and this goes back approximately one year but we have to check on the amount. There is a special format for this: Market Depth Data File Format What symbol do you need tick by tick data for. There should definitely be no problem with this. 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: 2026-04-20 02:16:02
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| [2026-04-21 15:35:34] |
| trader88 - Posts: 35 |
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I am trying to get Historical market depth data, but this is not working. I followed the documentation and I can't trigger the download. I also read continuous contracts not supported, so to get say 180 days of dept data I just can't do it and have to go symbol by symbol for each quarter - is this correct? Please provide detailed step-by-step instructions on how to download Historical market depth data. I appreciate your help. Thank you. Date Time Of Last Edit: 2026-04-21 16:15:43
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| [2026-04-21 19:26:11] |
| Sierra_Chart Engineering - Posts: 23949 |
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Here are the instructions: Market Depth Historical Graph: Downloading Of Historical Market Depth Data What symbol do you need market depth data for? so to get say 180 days of dept data I just can't do it and have to go symbol by symbol for each quarter - is this correct? Yes this is correct
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 |
| [2026-04-22 15:36:15] |
| trader88 - Posts: 35 |
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I followed instructions as provided in the link above. Please take a look at the screenshot. The chart has one study: Market Depth Historical Graph. I have Date Range set: 2026-03-14 -- 2026-04-21 When I do Export Bar Data To Text File it confirms: ..... starting at 2026-04-21 and not on 2026-03-14 Appreciate your help. |
| [2026-04-22 16:22:34] |
| John - SC Support - Posts: 46532 |
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Just because you have the date range set to start at 2026-03-14 does not mean that the data will actually be there for that date. There are any number of reasons why this might be the case. To begin with, what is the symbol for that chart. We need the exact symbol as you have it entered in "Chart >> Chart Settings >> Symbol >> Symbol". For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-04-22 16:44:04] |
| trader88 - Posts: 35 |
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The symbol is: ESM26_FUT_CME I am puzzled as to why there would be no data for 2026-03-14? To let you know, I was able to get depth data for ESH26 for entire quarter (12/13/2025 - 3/13/2026). |
| [2026-04-22 17:19:12] |
| John - SC Support - Posts: 46532 |
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To start with, you will not have any data for March 14, 2026, as that is a Saturday. But you should have data surrounding it. For that chart, what is "Chart >> Chart Settings >> Data Limiting >> Date Range In File From" set to? This is the item at the very top of that settings page, not the one that you set to define what data will be displayed in the chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-04-22 18:01:05] |
| trader88 - Posts: 35 |
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Thank you for your reply. If I change Date Range In File From to any date, say, 2026-03-15 and I click OK, and close it, it then comes back to 2026-01-05. Why is that? |
| [2026-04-22 18:29:01] |
| trader88 - Posts: 35 |
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Dear support, I am not sure why downloading depth data is such a complicated task. It is quite possible I am doing something wrong, but I have tried all I could, follow the instructions and this still does not work. As mentioned earlier I was able to get depth data for: ESH26 for entire quarter (12/13/2025 - 3/13/2026). I probably performed some extra step, which I can't remember exactly what I did to have this working. |
| [2026-04-22 18:46:30] |
| trader88 - Posts: 35 |
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OK, I figured it out. I have to do Ctrl + Alt + G and type in start date/time to move the chart to that point and click on that date/time to get a Download Depth data from Date - Time. So start - end dates in Chart settings are just indication of data range, and start will not trigger depth download unless we do as I described above. |
| [2026-04-22 19:48:21] |
| John - SC Support - Posts: 46532 |
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We thought you were missing bar data in your chart. If you are not missing bar data, then to get the Market Depth, you do need to scroll back to where you want to download the data from and select the option for "Download Depth Data from Date-Time". This is all covered in the following: Market Depth Historical Graph: Downloading Of Historical Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-05-14 02:28:06] |
| drinkcodejava - Posts: 40 |
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Hello Support, 1) I am trying to download Market Depth data for 9/02/2025, but when the download starts, the message log (and .depth files in ...\Data\MarketDepthData) indicate the download is starting from 9/13/2025. This date is not within the range of my chart, which is set to 9/01-9/05/2025. I have a simple chart set up for ESU25_FUT_CME (continuous contract set to None), and I am right-clicking on the bar where I would like to begin the download and selecting "Download Depth Data from Date-Time". I have attached images of the confirmation dialog box and Message Log. I also attempted to download data from an earlier date in Aug 2025, but that download also started from 9/13/2025. Any ideas what might be going on? 2) Also, can you please confirm how far back Market Depth data is available on the server for download? Post #5 says "approximately one year but we have to check on the amount", but I do not see any kind of confirmation in subsequent posts. Thanks for your help! Date Time Of Last Edit: 2026-05-14 03:26:43
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 Dialogue Box.png / V - Attached On 2026-05-14 02:20:13 UTC - Size: 5.19 KB - 20 views Message Log.png / V - Attached On 2026-05-14 02:20:19 UTC - Size: 59.32 KB - 19 views |
| [2026-05-14 14:38:20] |
| John - SC Support - Posts: 46532 |
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1) The first thing to check is the setting for "Global Settings >> Sierra Chart Server Settings >> General >> Maximum Historical Market Depth Days to Download". Make sure this is set high enough to go back to the date you are wanting. Refer to the following: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) Officially, we only have 6 months of market depth data, but we do have some more for some symbols, perhaps up to 1 year. If you are only able to get data back to September 13, 2026, then that is all the data we have. The data is going to be downloaded from the starting point you define and go forward to the current time. So if either of the above is the case, then it doesn't matter that that specific date is not in your chart, that is just where the data will start to get downloaded from. 2) See above. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-05-15 01:26:32] |
| drinkcodejava - Posts: 40 |
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Thanks John! Per your suggestion, I got it working by increasing Maximum Historical Market Depth Data Days to Download. It was set to 5, which I believe is the default value. Strange, though, that this worked given that the date that was downloaded (9/13/2025) prior to changing the value was far more than 5 days ago.
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