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Date/Time: Thu, 28 Mar 2024 22:20:55 +0000



Level 2/Market Depth data

View Count: 938

[2022-07-01 18:22:07]
User785723 - Posts: 57
Hi
I have service 12 but cannot get historical Level 2/Market Depth data other than for CME NASDAQ.
Is there a limitation on other instruments or there is an issue with my account?
Thanks
[2022-07-01 18:33:15]
John - SC Support - Posts: 30444
We need to know one symbol for which you are NOT getting the Level 2 data.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-17 13:54:41]
User785723 - Posts: 57
CME BTC
[2022-07-18 17:14:15]
John - SC Support - Posts: 30444
First of all, you are signed up to get real-time data from our Denali feed for the CME with Market Depth for nonprofessional Trading accounts. But you have not connected to your live, funded, trading account within the past month to verify your non-professional standing. Therefore, you are not able to get the real-time data from us. Refer to the following information:
Real-Time Exchange Data Feeds Available From Sierra Chart: Understanding and Accessing Data From the CME, CBOT, NYMEX, COMEX Exchanges

You can view your verification date at the following link:
https://www.sierrachart.com/UserControlPanel.php?page=DenaliDataFeed#Exchanges

But, you should be getting delayed streaming data from us, which also includes the market depth data and MBO data. It is just delayed from the real-time by 10 minutes.

Therefore, we need to know if you are getting the delayed data or not, and what is the actual symbol you have entered for the instrument.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-18 17:35:34]
Sierra Chart Engineering - Posts: 104368
Market depth data is available for that symbol:
https://www.sierrachart.com/image.php?Image=1658165675481.png
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: 2022-07-18 17:35:53
[2022-07-18 18:08:34]
User785723 - Posts: 57
Regarding the connection to my live funded trading account, I tried but got this error message:

Connection error message from service: Teton CME Order Routing/ Connection error: No trade accounts assigned.

I have done all of the steps to set up my live funded account but not sure why I get this message.
[2022-07-18 18:46:25]
Sierra Chart Engineering - Posts: 104368
What broker is your account with?
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
[2022-07-18 23:58:32]
User785723 - Posts: 57
There was an error regarding my username that is solved by the broker. Now, my live account works.

However, I still have issues with LOB data. For example, I got the LOB data for CME E-mini NQ from 5/10/2022 to 7/18/2022 and saved it in a csv file. The data after 6/10/2022 seems fine but the data before 6/9/2022 is wrong.

You can see a screenshot attached which shows the significant difference in terms of the saved depth data file sizes which indicates an issue with older data.
imageLOB data issue screenshot - CME NQ.png / V - Attached On 2022-07-18 23:56:57 UTC - Size: 417.43 KB - 89 views
[2022-07-19 08:58:01]
Sierra Chart Engineering - Posts: 104368
There is no issue with the data.

but the data before 6/9/2022 is wrong.
The September 2022 NQ futures were not active at that time.

Use a Continuous Futures Contract chart:
Continuous Futures Contract Charts
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
[2022-07-21 01:41:43]
User785723 - Posts: 57
Thanks

I was using "Volume Based Rollover, Back Adjusted". Any issue with this type of rollover for getting the depth data? Do you recommend using "Date Rule Rollover" or it does not differ in terms of the depth data?
[2022-07-21 02:09:39]
User785723 - Posts: 57
One observation:

1. I loaded NQU22 chart with data rollover. The depth data files before 6/10/2022 are small sized (less than 50MB) and they get big size after 6/10/2022 (more than 100 MB).

2. I then loaded NQM22 chart. The depth data files before 6/10/2022 are getting added in size and the older depth data seems to be downloaded correctly.

So my conclusion is that there might be an issue on the platform with rolling over the depth data to previous Futures contracts. Please let me know.
[2022-07-21 17:51:52]
Sierra Chart Engineering - Posts: 104368
1. This is definitely expected and normal.

2. Yes this makes sense.

Market depth data needs to be downloaded for the expired futures contracts in the chart. We will update the documentation to explain how to do 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

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