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Date/Time: Tue, 04 Aug 2020 17:33:03 +0000



Where to buy historic market depth data for backtesting

[2020-07-30 22:38:17]
User355030 - Posts: 78 | Ending Date: 2020-09-04
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]
Sierra Chart Engineering - Posts: 88303 | Ending Date: 2021-04-05
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2020-08-01 19:46:52]
Chad - Posts: 170 | Ending Date: 2020-08-10
@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]
Sierra Chart Engineering - Posts: 88303 | Ending Date: 2021-04-05
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-08-02 18:46:48]
User355030 - Posts: 78 | Ending Date: 2020-09-04
@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]
Sierra Chart Engineering - Posts: 88303 | Ending Date: 2021-04-05
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-08-02 21:44:15

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