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Version 2198: Support For Historical Market Depth Data With Denali/Delayed Exchange Feeds

[2020-11-19 06:39:13] #1
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Version 2198 which as of this posting is currently a pre-release, but certainly fine to use, now has support for downloading historical market depth data through the Denali Exchange Data Feed. Information about the Denali Exchange Data Feed: https://www.sierrachart.com/index.php?page=doc/DenaliExchangeDataFeed.php Instructions to update to prerelease: https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate To enable historical market depth data downloading, enable the option for this in Global Settings >> Sierra Chart Server Settings. See the screenshot below. It is imperative, that you are running version 2198 before enabling this option. Some earlier versions have it but it is not regarded as safe to use it in an earlier version. There is the ability to re-download the historical market depth data from a particular Date-Time in the chart. You can add the command for that through Global Settings >> Customize Chart Shortcut Menu. The name of the command is Download Depth Data from Date-Time. To use this command, right click on the chart at the point in time you want to start the download at, and select the command. As of version 2199, when the market depth data download is complete after performing the above re-download operation, then the chart will be reloaded. ----- For the time being historical market depth data is limited to the most recent 15 days. Our servers are maintaining this data for the last six months. Data longer than that duration is 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: 2020-11-21 05:31:45

EnablingHistoricalMarketDepthDataDownloading.png / V - Attached On 2020-11-19 06:20:20 UTC - Size: 24.81 KB - 490 views

[2020-11-19 22:17:55] #2
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We are identifying some issues with this functionality. And we are working on resolving them. We expect to complete this before morning. 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: 2020-11-19 22:18:07

[2020-11-20 18:53:44] #3
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
There was one remaining outstanding issue on one of our servers, where historical Market Depth data was not being served from one of the Historical data server processes. This is now now resolved. 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: 2020-11-20 18:53:57

[2020-11-20 22:10:00] #4
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We want to point out, that we do not charge anything extra for this data, and we have 6 months of historical market depth data available. Unlike bookmap that is charging 14USD a month, and only gives you at most a few days. Now we have limited it to 15 days for now, until we have time to evaluate the bandwidth usage and how best to manage that if it is an issue. This data is efficiently and reliably delivered. 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: 2020-11-21 23:42:42

[2020-11-20 22:32:22] #5
UserAR - Posts: 43 \| Ending Date: 2021-03-21 [Expired]
Given this functionality do you think we need to record market depth for the futures symbols we follow or is this not necessary anymore? Thanks

[2020-11-20 22:45:15] #6
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
do you think we need to record market depth for the futures symbols we follow No. 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.

[2020-11-21 07:44:04] #7
User472511 - Posts: 19 \| Ending Date: 2021-02-28 [Expired]
I am having trouble getting this to work. Nothing happens even though I've enabled the historical depth data. Not even when using the "Download Depth Data from Date-Time" feature. Please advise.

[2020-11-21 09:24:42] #8
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Follow the instructions here to clear the Message Log: https://www.sierrachart.com/index.php?page=doc/MessageLog.html#Clearing Right-click on the chart, at about the middle of the day 2020-11-20 and select Download Depth Data from Date-Time. After about a couple of minutes provide a copy of the Message Log following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#MessageLog 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.

[2020-11-21 22:18:10] #9
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
This functionality: There is the ability to re-download the historical market depth data from a particular Date-Time in the chart. You can add the command for that through Global Settings >> Customize Chart Shortcut Menu. The name of the command is Download Depth Data from Date-Time. To use this command, right click on the chart at the point in time you want to start the download at, and select the command. Can be used even if this option is set to No: https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=45510 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.

[2020-11-22 01:55:26] #10
User472511 - Posts: 19 \| Ending Date: 2021-02-28 [Expired]
I sent the log using the "send for analysis" functionality.

[2020-11-22 15:09:40] #11
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We are looking into this now. 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.

[2020-11-22 16:20:35] #12
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Regarding post #10, we now see what the problem is. The necessary Symbol Settings for the Sierra Chart Order Routing Service to support historical market depth data were not set up. We have set up some of these now. You now can get historical market depth data for the ES futures. We will complete the rest of them later today. Follow the instructions here to update the Symbol Settings: https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UpdateSettings After the above, re-download the data again. 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: 2020-11-22 16:20:49

[2020-11-22 23:57:02] #13
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
There was a significant oversight here. We only set up the necessary Symbol Settings for SC Data-All Services. We are working now on: Interactive Brokers CQG SC Futures Order Routing CTS Transact Gain Capital Rithmic FXCM LMAX Trading Evaluator Trading Evaluator-Delayed This should be done in the next hour or so. Also historical market depth data is provided for the Delayed Exchange Data Feed. This data is also provided with Sierra Chart trials. 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: 2020-11-22 23:57:17

[2020-11-23 06:05:58] #14
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
The Symbol Settings for the Services listed in post #13 are now updated. Therefore, the functionality described in post #1, will work across the various supported Services. It is necessary to update symbol settings within your installation of Sierra Chart either by restarting Sierra Chart or following the instructions below: Follow the instructions here to update the Symbol Settings: https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UpdateSettings 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.

[2020-11-24 16:58:03] #15
ticinotrader - Posts: 254 \| Ending Date: 2021-10-08
Dear Support, I am just going to turn off/stop recording data for the Denali symbols on my own. Can you please confirm the following: 1. Can the downloaded depth data be backed up similar to the previous .depth files? Even though the data can be requested from your servers, I would like to maintain my collection as well, in case if I need to review anything beyond the available history. 2. Does this service provide Depth data for future expirations as well? Like non-front month contracts of commodities (Corn, Wheat, Beans, multiple active expirations of the energy futures at NYMEX, etc). Just would like to know if I should still record depth for these later expirations. Thank you.

[2020-11-24 17:22:41] #16
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
1. Not sure we understand the question. You can do whatever you want with the files. 2. Yes. 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.

[2020-11-24 18:02:17] #17
ticinotrader - Posts: 254 \| Ending Date: 2021-10-08
I am setting this up now. Updated to 2200, connected to the SC Data All Services. Enabled the Depth downloading in Global Settings. Added the shortcut to the Chart Shortcut menu and clicked to download depth data for ZCN21-CBOT and nothing happens/downloaded. I have sent the message log for analysis using the Send for Analysis function. Can you please advise?

[2020-11-24 19:05:42] #18
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We do not see any Message Logs on the account you posted with. We got data: HD Request # 42 \| Downloading market depth chart data for ZCN21-CBOT. Service: cbot.marketdepth \| 2020-11-24 13:39:30.752 HD Request # 42 \| Download start date-time: 2020-11-17 23:00:00.000000. \| 2020-11-24 13:39:30.754 HD Request # 42 \| Using server: ds23.sierracharts.com port 10150 \| 2020-11-24 13:39:30.756 Socket (2) \| Creating socket. \| 2020-11-24 13:39:30.792 Socket (2) \| New receive buffer size: 5242880 \| 2020-11-24 13:39:30.792 Socket (2) \| Connecting to IP: 216.1.90.130. \| 2020-11-24 13:39:30.792 HD Request # 42 \| Setting DTC encoding to Binary VLS \| 2020-11-24 13:39:31.180 HD Request # 42 \| Sending historical data logon request message. \| 2020-11-24 13:39:31.180 HD Request # 42 \| Requesting market depth data. Start date-time: 2020-11-17 23:00:00. Symbol: ZCN21 \| 2020-11-24 13:39:31.817 HD Request # 42 \| Decompressing data. \| 2020-11-24 13:39:32.017 HD Request # 42 \| Receiving market depth data for ZCN21-CBOT starting at 2020-11-17 23:00:03.797000 \| 2020-11-24 13:39:32.407 HD Request # 42 \| Timestamp of first market depth data file record written: 2020-11-17 23:00:03.797000 \| 2020-11-24 13:39:33.344 Socket (2) \| CloseSocket call. \| 2020-11-24 13:39:48.657 Socket (2) \| 0 bytes remaining in receive buffer when socket closed. \| 2020-11-24 13:39:48.657 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2020-11-24 13:39:48.657 Historical data download thread signaled to stop. \| 2020-11-24 13:39:48.657 HD Request # 42 \| Received 2951692 records from 2020-11-17 23:00:03.797000 to 2020-11-24 13:39:45.424000 (6.6 days) and wrote 2951692 records for ZCN21-CBOT \| 2020-11-24 13:39:48.658 HD Request # 42 \| Completion time: 18s \| 2020-11-24 13:39:48.662 HD Request # 42 \| Market depth data download complete for ZCN21-CBOT. Unique request ID: 41 \| 2020-11-24 13:39:48.662 Removing historical data download ID 41. \| 2020-11-24 13:39:48.662 Real-time market depth file updates started for ZCN21-CBOT \| 2020-11-24 13:39:48.662 Perform a market depth re-download operation from near the end of the chart, using the instructions given at the first post, and then provide the same portion of the message log as shown above. 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: 2020-11-24 19:06:11

[2020-11-24 19:30:23] #19
ticinotrader - Posts: 254 \| Ending Date: 2021-10-08
Sorry, I was sending it with another SC account that I use with Sierra. On my default SC account (same that I post this message from) using SC's delayed streaming datafeed and worked like a charm - data downloaded very quickly. Although on my another SC account (this is subscribed to realtime data) I am getting this error message in the log: HD Request # 140 \| Downloading market depth chart data for ZCN21-CBOT. Service: cbot.marketdepth \| 2020-11-24 14:27:40.719 HD Request # 140 \| Download start date-time: 2020-11-24 00:27:00.000000. \| 2020-11-24 14:27:40.726 HD Request # 140 \| Using server: exchangehistdata2.sierracharts.com port 10150 \| 2020-11-24 14:27:40.726 Socket (2) \| Creating socket. \| 2020-11-24 14:27:40.727 Socket (2) \| New receive buffer size: 5242880 \| 2020-11-24 14:27:40.728 Socket (2) \| Connecting to IP: 8.18.161.133. \| 2020-11-24 14:27:40.728 HD Request # 140 \| Setting DTC encoding to Binary VLS \| 2020-11-24 14:27:40.995 HD Request # 140 \| Sending historical data logon request message. \| 2020-11-24 14:27:40.995 Socket (2) \| CloseSocket call. \| 2020-11-24 14:27:41.125 Socket (2) \| 0 bytes remaining in receive buffer when socket closed. \| 2020-11-24 14:27:41.125 HD Request # 140 \| Error downloading historical Market Depth data for ZCN21-CBOT. Historical data logon error: Data files folder not set for service code: cbot.marketdepth \| Username: * \| 2020-11-24 14:27:41.125 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2020-11-24 14:27:41.125 Historical data download thread signaled to stop. \| 2020-11-24 14:27:41.125 HD Request # 140 \| Received 0 records from 00:00:00.000000 to 00:00:00.000000 (0.0 seconds) and wrote 0 records for ZCN21-CBOT \| 2020-11-24 14:27:41.126 HD Request # 140 \| Completion time: 1s \| 2020-11-24 14:27:41.126 HD Request # 140 \| Market depth data download complete for ZCN21-CBOT. Unique request ID: 162 \| 2020-11-24 14:27:41.126 Removing historical data download ID 162. \| 2020-11-24 14:27:41.126 Real-time market depth file updates started for ZCN21-CBOT \| 2020-11-24 14:27:41.126 Opened cached Depth file: C:\SierraChart\Data\MarketDepthData\ZCN21-CBOT.2020-11-24.depth \| 2020-11-24 14:27:41.126 Date Time Of Last Edit: 2020-11-24 19:47:53

[2020-11-24 19:55:28] #20
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
You need to deactivate all of the CME related exchanges you have on the Sierra Chart Exchange Data Feed before the end of this month and then start using the Denali Exchange Data Feed: https://www.sierrachart.com/index.php?page=doc/DenaliExchangeDataFeed.php Historical market depth data as has been said, is only provided through the Denali Exchange Data Feed and the Delayed Exchange Data Feed. 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: 2020-11-24 23:22:27

[2020-11-25 04:30:18] #21
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
One other point that we want to make clear, now that we have been gradually building up our Sierra Chart data feed offerings completely independent of other vendors, and enhancing them with features like historical market depth data, is that there is not a reason for us to be supporting demo data feeds from other services. When a new user begins to use Sierra Chart we want to give the very best impression and ease-of-use and reliability. We want everything to be very easy with initial set up. For example, we can remember from the long-ago past when people would start to use Interactive Brokers as a data feed example for Sierra Chart and then get a very poor impression of Sierra Chart due to the substandard data feeds they provide and even a worse impression, when they would use an IB demo data feed (nothing but a complete joke). So when we stopped supporting the CQG demo accounts as explained here: https://www.sierrachart.com/index.php?page=doc/CQGTrading.php#CQGDemoAccountsNotSupported This decision has proven to be very well supported by this new historical market depth data feature. When we have a new user, who wants to have a trial of Sierra Chart there is no need to go through any creation of a CQG account, and no additional set up with configuring Sierra Chart to use that account. Instead Sierra Chart is ready to go, and includes delayed streaming data, comprehensive and long-term historical Daily and Intraday tick by tick data, and now historical market depth data all in a fully integrated easy to use solution/package. If someone started to use a CQG demo, there would be no historical market depth data. So when they would use the Market Depth Historical Graph study, they would see just 10 levels of depth, there would be oddities with the market depth data studies due to how CQG provides market depth data, and most importantly there would be no historical market depth data. Now there is historical market depth data we provide with our own data feeds (Denali and Delayed Exchange Data Feeds). This data is also accessible even on the weekends. So when someone starts a trial over the weekend they have the necessary data. 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: 2020-11-25 15:47:27

[2020-11-25 17:00:42] #22
ticinotrader - Posts: 254 \| Ending Date: 2021-10-08
Dear Support, Can you please add the Ultra 10yr Treasury Note futures to the list of supported symbols to use with the historical market depth service? It's currenty expiration symbols are TNZ20-CBOT (front month) and TNH21-CBOT (next expiration). Thank you in advance.

[2020-11-25 20:37:46] #23
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Yes we will set this up. 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.

[2020-11-25 20:41:49] #24
atomic_jeff - Posts: 3 \| Ending Date: 2020-12-10 [Expired]
Is the goal to have all products and spreads available? Is there a list somewhere of what is currently available? I can download data for some products (ZT outright, ZN outright), but it doesn't do anything for others (TN outright, ZT calendar spread, ZN calendar spread, FYT spread), nothing even shows up in the log after accepting the confirmation dialog.

[2020-11-27 21:29:54] #25
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Is the goal to have all products and spreads available? We will set up what users need. Is there a list somewhere of what is currently available? No. We are not maintaining historical market depth data for spreads. Extended and historical market depth data for TN will go into effect over the weekend. 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.

[2020-12-07 20:50:50] #26
nosast - Posts: 222 \| Ending Date: 2021-10-13
How to limit the days of automatic downloading historical market depth data? Looks like SC is always downloading the recent 15 days. I would like to limit it to the current day or current day -1

[2020-12-07 21:16:17] #27
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We need to add a separate setting for this. We will do that. Right now it is controlled by these particular settings: https://www.sierrachart.com/index.php?page=doc/DataSourceSettings.php#MaxHistoricalIntradayDaysToDownload 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.

[2020-12-07 22:12:27] #28
nosast - Posts: 222 \| Ending Date: 2021-10-13
A separate setting for depth download is perfect. Thanks!

[2020-12-14 14:27:19] #29
Chad - Posts: 183 \| Ending Date: 2021-09-08
Are historical depth files supposed to be stored within the \Data\MarketDepthData subdir? I followed steps listed in posts 1 and 12 above, restarted & all that, and scrolled back 15 days then R click and 'Download Depth Data from Date-Time'...no visible change, and no new .depth files in that subdir. I'm looking at COMEX HG (Copper) futures, got the HGH21 intraday chart loaded, and have Denali-All Services with NYMEX and COMEX non-pro w/ depth enabled.

[2020-12-14 18:33:58] #30
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
The answer is yes. However, the most important question is whether you see the historical market depth data showing up on the chart when using the Market Depth Historical Graph study.: https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375#Market_Depth_Historical_Graph If not, then follow these instructions: Follow the instructions here to clear the Message Log: https://www.sierrachart.com/index.php?page=doc/MessageLog.html#Clearing Right-click on the chart somewhere and select 'Download Depth Data from Date-Time' After about 2 minutes provide a copy of the Message Log following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#MessageLog 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.

[2020-12-14 18:40:17] #31
Chad - Posts: 183 \| Ending Date: 2021-09-08
Re: seeing the historical depth w MDHG study, currently, no...I am on Service Package 3 (IIRC Pkg 5 is needed for this study, please confirm). I do have the 'Depth of Market Data' study applied.

[2020-12-14 20:31:09] #32
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Yes you do need the Advanced Service Package for that study. But we can tell if the Historical market depth data is getting downloaded from the Message Log. 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.

[2020-12-15 03:37:40] #33
Chad - Posts: 183 \| Ending Date: 2021-09-08
Message Log contents: Software version: 2207 64-bit \| 2020-12-14 21:27:00.269 Primary Thread ID: 60816 \| 2020-12-14 21:27:00.269 Usage end date: 2021-09-08 \| 2020-12-14 21:27:00.269 Enabled for: Sierra Chart Historical Data Service. \| 2020-12-14 21:27:00.269 Enabled for: Denali Real-Time Exchange Data Feed. \| 2020-12-14 21:27:00.269 Enabled for: Delayed Denali Real-Time Exchange Data Feed. \| 2020-12-14 21:27:00.269 Enabled for exchange2: COMEX \| 2020-12-14 21:27:00.269 Enabled for exchange2: NYMEX \| 2020-12-14 21:27:00.269 Allow Support for Sierra Chart Data Feeds is enabled. \| 2020-12-14 21:27:00.269 Current selected Data/Trading service: SC Data - All Services \| 2020-12-14 21:27:00.269 Custom symbol settings values: enabled \| 2020-12-14 21:27:00.269 Chart Update Interval: 10 \| 2020-12-14 21:27:00.269 Intraday Data Storage Time Unit: 0 \| 2020-12-14 21:27:00.269 Time Zone: -06:00:00 (CST-06CDT+01,M3.2.0/02:00,M11.1.0/02:00) \| 2020-12-14 21:27:00.269 2020-12-15 03:27:00 Local computer time in UTC \| 2020-12-14 21:27:00.269 2020-12-14 21:27:00 Local computer time in SC Time Zone \| 2020-12-14 21:27:00.269 2020-12-15 03:26:36 Server time in UTC \| 2020-12-14 21:27:00.269 Local computer UTC time and Server UTC time difference: 0 seconds. \| 2020-12-14 21:27:00.269 Program path: C:\SierraChart\ \| 2020-12-14 21:27:00.269 Data Files path: C:\SierraChart\Data\ \| 2020-12-14 21:27:00.269 OS Version Number: 6.1 \| 2020-12-14 21:27:00.270 Locale Setting: C \| 2020-12-14 21:27:00.270 DLLs: [[i]I removed this for brevity[/i]] Allowed protected custom studies: SST_FreeBundle \| 2020-12-14 21:27:00.272 HGH21 1 Trades #1 \| Reloading chart. \| 2020-12-14 21:27:21.934 Mapping HGH21 to HGH21. Service code: comex \| 2020-12-14 21:27:22.670 SC Data - All Services \| Starting real-time market data updates for: HGH21 (HGH21). ID: 1 Service code: comex \| 2020-12-14 21:27:22.694 SC Data - All Services \| Connecting to the server ds12-2.sierracharts.com. Port 443 \| 2020-12-14 21:27:22.712 SC Data - All Services \| Requesting security definition data for: HGH21 (HGH21). ID: 1 \| 2020-12-14 21:27:22.713 Requesting market depth updates for: HGH21 if supported. \| 2020-12-14 21:27:22.713 Separate subscription for market depth updates not supported. HGH21 \| 2020-12-14 21:27:22.713 Starting DelayedDownloadMonitoringTimer \| 2020-12-14 21:27:22.713 Starting HDTimeoutTimer \| 2020-12-14 21:27:22.713 Added historical Intraday data request for HGH21 to the queue. \| 2020-12-14 21:27:22.713 Intraday data recording state for symbol HGH21 is set to download 'Pending'. \| 2020-12-14 21:27:22.713 Triggering next historical data download in queue. \| 2020-12-14 21:27:22.713 Delaying start of download for HGH21 \| 2020-12-14 21:27:22.717 DTC Client socket (1) \| Creating socket. \| 2020-12-14 21:27:22.845 DTC Client socket (1) \| New receive buffer size: 5242880 \| 2020-12-14 21:27:22.845 DTC Client socket (1) \| Connecting to IP: 204.15.197.13. \| 2020-12-14 21:27:22.845 SC Data - All Services \| Network connection to server complete. \| 2020-12-14 21:27:22.899 SC Data - All Services \| Starting socket receive thread. \| 2020-12-14 21:27:22.920 SC Data - All Services \| Sending encoding request to server: Binary VLS. Compression: standard \| 2020-12-14 21:27:22.929 SC Data - All Services \| Setting DTC encoding to Binary VLS \| 2020-12-14 21:27:22.979 SC Data - All Services \| Sending logon request message. \| 2020-12-14 21:27:22.979 SC Data - All Services \| Received logon response. \| 2020-12-14 21:27:23.793 SC Data - All Services \| Server Name: SC Realtime Server. \| 2020-12-14 21:27:23.793 SC Data - All Services \| Server protocol version: 8. Client protocol version: 8 \| 2020-12-14 21:27:23.793 SC Data - All Services \| Successfully connected. \| 2020-12-14 21:27:23.793 SC Data - All Services \| Trading is not supported. \| 2020-12-14 21:27:23.793 Real-time market depth file updates started for HGH21 \| 2020-12-14 21:27:23.808 Opened cached Depth file: C:\SierraChart\Data\MarketDepthData\HGH21.2020-12-15.depth \| 2020-12-14 21:27:23.809 SC Data - All Services \| Restarting real-time data updates for symbol: HGH21 -> HGH21. Market Depth data restarted. \| 2020-12-14 21:27:23.809 SC Data - All Services \| Clearing market depth for HGH21 \| 2020-12-14 21:27:23.919 Enabling compression for file: C:\SierraChart\Data\MarketDepthData\HGH21.2020-12-15.depth. This may take a while. \| 2020-12-14 21:27:24.049 File compression enabled. C:\SierraChart\Data\MarketDepthData\HGH21.2020-12-15.depth. CompressionState=2 \| 2020-12-14 21:27:24.049 Opened cached Depth file: C:\SierraChart\Data\MarketDepthData\HGH21.2020-12-15.depth \| 2020-12-14 21:27:24.049 SC Data - All Services \| Received security definition for symbol HGH21 \| 2020-12-14 21:27:24.049 Loading market depth data. \| 2020-12-14 21:27:25.091 Loaded depth data records for HGH21 2020-12-11 from 2020-12-11 14:13:21.920000 to 2020-12-11 14:29:29.384270. \| 2020-12-14 21:27:25.169 Loaded depth data records for HGH21 2020-12-14 from 2020-12-14 07:13:34.187000 to 2020-12-14 08:53:47.017000. \| 2020-12-14 21:27:26.188 Market Depth Historical Graph \| Current service package does not support this function. Select 'Help >> Account Control Panel' to change your package. \| 2020-12-14 21:27:26.391 Market Depth Historical Graph \| Current service package does not support this function. Select 'Help >> Account Control Panel' to change your package. \| 2020-12-14 21:27:26.407 Market Depth Historical Graph \| Current service package does not support this function. Select 'Help >> Account Control Panel' to change your package. \| 2020-12-14 21:27:27.375 HD Request # 1 \| Downloading Intraday chart data for HGH21 to the file HGH21.scid. Service: comex \| 2020-12-14 21:27:28.793 HD Request # 1 \| Download start date-time: 2020-12-14 08:53:47.000000. File last date-time: 2020-12-14 08:53:47.017002 \| 2020-12-14 21:27:28.797 HD Request # 1 \| Using server: ds23.sierracharts.com port 10150 \| 2020-12-14 21:27:28.797 Socket (2) \| Creating socket. \| 2020-12-14 21:27:28.865 Socket (2) \| New receive buffer size: 5242880 \| 2020-12-14 21:27:28.865 Socket (2) \| Connecting to IP: 216.1.90.130. \| 2020-12-14 21:27:28.865 HD Request # 1 \| Setting DTC encoding to Binary VLS \| 2020-12-14 21:27:28.976 HD Request # 1 \| Sending historical data logon request message. \| 2020-12-14 21:27:28.976 HD Request # 1 \| Requesting Intraday data. Start date-time: 2020-12-14 08:53:47. Record interval: 0. Symbol: HGH21 \| 2020-12-14 21:27:29.475 HD Request # 1 \| Decompressing data. \| 2020-12-14 21:27:29.599 HD Request # 1 \| Receiving Intraday data for HGH21 starting at 2020-12-14 08:53:47.017000 \| 2020-12-14 21:27:29.740 Socket (2) \| CloseSocket call. \| 2020-12-14 21:27:29.853 Socket (2) \| 0 bytes remaining in receive buffer when socket closed. \| 2020-12-14 21:27:29.853 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2020-12-14 21:27:29.853 Historical data download thread signaled to stop. \| 2020-12-14 21:27:29.876 HD Request # 1 \| Timestamp of first Intraday data file record written: 2020-12-14 08:53:49.662000 \| 2020-12-14 21:27:29.877 HD Request # 1 \| Received 19742 records from 2020-12-14 08:53:47.017000 to 2020-12-14 21:27:25.525000 (12.6 hours) and wrote 19739 records for HGH21 \| 2020-12-14 21:27:29.877 HD Request # 1 \| Add time&sales data \| Remembered last file record date-time: 2020-12-15 03:27:25.525000 \| 2020-12-14 21:27:29.893 Added 5 Time and Sales records to Intraday data file for HGH21 after download. \| 2020-12-14 21:27:29.893 Socket (2) \| Socket gracefully closed by remote side. \| 2020-12-14 21:27:29.899 Socket (2) \| Closed. \| 2020-12-14 21:27:29.899 HD Request # 1 \| Completion time: 1s \| 2020-12-14 21:27:29.906 HD Request # 1 \| Intraday data download complete for HGH21. Unique request ID: 1 \| 2020-12-14 21:27:29.906 Removing historical data download ID 1. \| 2020-12-14 21:27:29.906 Real-time Intraday chart data file updates started for HGH21 \| 2020-12-14 21:27:29.906 Intraday chart data file opened for HGH21 \| 2020-12-14 21:27:29.906 HD Request # 1 \| Enabling Intraday chart updating for symbol. \| 2020-12-14 21:27:29.906 Triggering next historical data download in queue. \| 2020-12-14 21:27:29.906 Opened cached Intraday file: C:\SierraChart\Data\HGH21.scid. Thread ID: 60600 \| 2020-12-14 21:27:35.086 The message log has been sent to support. \| 2020-12-14 21:34:10.786 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| Creating socket. Using TLS 1.2. \| 2020-12-14 21:34:10.786 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| New receive buffer size: 32768 \| 2020-12-14 21:34:10.786 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| Connecting to IP: 46.4.97.203. \| 2020-12-14 21:34:10.791 Sending of the Message Log is completed. The response was saved to C:\SierraChart\Data\MessageLogAnalysis.htm \| 2020-12-14 21:34:11.846 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| CloseSocket call. \| 2020-12-14 21:34:12.091 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| 0 bytes remaining in receive buffer when socket closed. \| 2020-12-14 21:34:12.091 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| Shutdown started. Waiting for graceful close. \| 2020-12-14 21:34:12.091 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| Socket gracefully closed by remote side. \| 2020-12-14 21:34:12.231 HTTPS connection ID:1 to www.sierrachart.com:443 for request ID:1 (2) \| Closed. \| 2020-12-14 21:34:12.231 Steps I took before copying log: 1) launch SC & clear Message Log 2) open Chartbook with 1 Chart window - intraday tick chart of HGH21 (COMEX Copper Mar '21), 15 days to load per Chart Settings 3) scrolled to earliest time in Chart, R clicked and selected 'Download Depth Data from Date-Time' 4) waited 5 minutes to see if Message Log reported anything pertaining to Step (3) Date Time Of Last Edit: 2020-12-15 03:38:18

[2020-12-15 04:43:33] #34
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Ok we see what the problem is. You need to translate the symbols to the new format. Instructions: https://www.sierrachart.com/index.php?page=doc/EditMenu.html#TranslateSymbolsToCurrentService And you can rename the existing market depth files to the new symbol format. The files are located in: C:\SierraChart\Data\MarketDepthData\ 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: 2020-12-15 04:44:22

[2020-12-17 00:54:43] #35
nosast - Posts: 222 \| Ending Date: 2021-10-13
Any update on your post #27 regarding a separate setting to control the days of market depth download?

[2020-12-17 03:39:37] #36
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
Yes that setting will be in the new Data/Trade Service Settings window which we are working on. Should be out maybe in about a week or so. 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.

[2020-12-17 19:19:11] #37
User502498 - Posts: 33 \| Ending Date: 2021-04-20 [Expired]
Will this ability to download market depth have any impact on having the pullstack data avail for backtesting? Right now all pullstack's are 0 if you do ANY modifications to the chart they are working on.

[2020-12-17 20:21:44] #38
Chad - Posts: 183 \| Ending Date: 2021-09-08
Supposing I run a Chartbook once per week, which contains several Charts/symbols that I want to keep accumulating historical depth data for - will all of the historical depth of the interim days be auto-downloaded/backfilled, or do I need to scroll back in each Chart to the last time the Chartbook was open, and select 'Download Depth Data from Date-Time'? Perhaps this is in the same vein of inquiry as post #36...

[2020-12-17 22:30:49] #39
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
We need specific instructions to reproduce this: Right now all pullstack's are 0 if you do ANY modifications to the chart they are working on. We would not expect this to be the case. will all of the historical depth of the interim days be auto-downloaded/backfilled, Yes. 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.

[2020-12-25 15:22:32] #40
User624476 - Posts: 27 \| Ending Date: 2021-05-13 [Expired]
Hello Sierra Chart Engineering, Any idea when you will offer access to historical market depth data further back than 12/10/2020?

[2021-01-02 14:38:26] #41
nosast - Posts: 222 \| Ending Date: 2021-10-13
Regarding #36 and the settings to limit days of downloading market depth I can't find any valid setting therefore. Is this still in development?

[2021-01-03 22:27:10] #42
Sierra Chart Engineering - Posts: 96236 \| Ending Date: 2022-04-10
This has not yet been released. We will get this out as soon as we can. 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.

[2021-01-31 01:53:57] #43
User100912 - Posts: 66 \| Ending Date: 2021-05-08 [Expired]
@ticinotrader I've fouled up and lost some historical depth data. Do you perhaps have NYMEX or ICE crude oil futures from April 20, 2020 in SC market depth format? I cannot download this as it is older than 6 months therefore deleted from SC servers.

[2021-02-07 23:21:58] #44
Async - Posts: 23 \| Ending Date: 2019-03-31 [Expired]
Does this data can replace data recording in the BID_ASK_TRADE_SYNC mode? If Sierra can provide multiple years of BID_ASK_TRADE_SYNC historical data, that will be great even with extra charge.

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