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[Sticky] - Version 2198: Support For Historical Market Depth Data With Denali/Delayed Exchange Feeds

[2020-11-19 06:39:13] #1
Sierra Chart Engineering - Posts: 91599 \| Ending Date: 2021-04-05
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 - 151 views

[2020-11-19 22:17:55] #2
Sierra Chart Engineering - Posts: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 38 \| Ending Date: 2020-11-29
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: 91599 \| Ending Date: 2021-04-05
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: 18 \| Ending Date: 2020-11-30
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: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 18 \| Ending Date: 2020-11-30
I sent the log using the "send for analysis" functionality.

[2020-11-22 15:09:40] #11
Sierra Chart Engineering - Posts: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 246 \| Ending Date: 2020-12-16
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: 91599 \| Ending Date: 2021-04-05
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: 246 \| Ending Date: 2020-12-16
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: 91599 \| Ending Date: 2021-04-05
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: 246 \| Ending Date: 2020-12-16
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: 91599 \| Ending Date: 2021-04-05
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: 91599 \| Ending Date: 2021-04-05
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: 246 \| Ending Date: 2020-12-16
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: 91599 \| Ending Date: 2021-04-05
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
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: 91599 \| Ending Date: 2021-04-05
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.

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