Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Sat, 20 Apr 2024 03:51:14 +0000
Where to buy historic market depth data for backtesting
View Count: 1064
| [2020-07-30 22:38:17] |
| User355030 - Posts: 163 |
|
I'm currently subscribed to market depth data, and I understand you have to record the data in real time in order to run replay's. I'm looking to purchase historic market depth data that is compatible with SC so I can run some back-tests. Any help on pointing me in the right direction would be greatly appreciated.
|
| [2020-08-01 08:42:44] |
| |
|
We have started to maintain the historical market depth data as of about the middle of July 2020 on our systems. We are going to develop the ability to serve that automatically into Sierra Chart. We will get this done as soon as possible. Hopefully, not later than the end of August. Otherwise, we do not know of any other source. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-08-01 19:46:52] |
| Chad - Posts: 231 |
|
@SCE, will the historical DOM data you're referring to be limited to CME Group exchanges, or are others involved?
|
| [2020-08-02 01:24:19] |
| |
|
Yes just CME Group for now. EUREX will come later.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-08-02 18:46:48] |
| User355030 - Posts: 163 |
|
@SCE with your initial response, does that mean that we will only have Market depth data starting from July (from a historic perspective), unless we were recording it ourselves?
|
| [2020-08-02 21:43:45] |
| |
|
Yes. And we will only maintain four months of historical market depth data at any point in time. The older files will be automatically deleted.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-08-02 21:44:15
|
| [2020-09-14 15:00:47] |
| User355030 - Posts: 163 |
|
@SCE What historical market depth data do you currently have that I can download?
|
| [2020-09-14 16:32:57] |
| John - SC Support - Posts: 30976 |
|
It is not available yet. We are still working on making this available.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-09-14 16:54:51] |
| User355030 - Posts: 163 |
|
@SCE I have a decent amount of market depth data and I am having a hard time running backtests with the data. Some replay days will work, then the SC will freeze and market depth will be removed from the replay. Can we jump on a call to figure this out?
|
| [2020-09-27 14:47:56] |
| User120942 - Posts: 71 |
|
@Sierra Chart Engineering Looking forward to historical market depth being made available. Any idea when to expect this to be released? I am currently subscribed to the Denali feed. Will there be an additional charge for Historical Market Depth or will this be included the standard monthly cost? |
| [2020-09-28 09:45:17] |
| |
|
Still most likely another month for historical market depth data from the Sierra Chart servers. The Advanced Service Package will be required for 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-09-28 09:45:36
|
To post a message in this thread, you need to log in with your Sierra Chart account: