Support Board
Date/Time: Tue, 03 Feb 2026 20:26:45 +0000
Trying to download historical market depth data
View Count: 6275
| [2022-11-09 05:51:07] |
| User872151 - Posts: 19 |
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Hi there, I have subscription to the Denali feed and am trying to replay DOM + time & sales for historical days. My go-to process in the past was to refer to following article and do step 8 (Market Depth Historical Graph: Downloading Of Historical Market Depth Data). That way I'm able to download data for the past 5 days, however if I want to download data from say 8 days ago, I seem to not be able to do so. Do you have any advice and what else I could try out or where I might be doing something wrong? Update: Got the time & sales to work now but on the DOM I only have the best bid and offer showing and not full depth of book (see screenshot). Thanks in advance! Date Time Of Last Edit: 2022-11-09 06:20:24
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 iScreen Shoter - 20221109141729119.jpg / V - Attached On 2022-11-09 06:20:18 UTC - Size: 750.83 KB - 378 views |
| [2022-11-09 13:24:25] |
| Sierra_Chart Engineering - Posts: 22659 |
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Go through all the steps here again and be sure to follow step 5 and 10: Market Depth Historical Graph: Downloading Of Historical Market Depth Data 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-11-10 16:50:04
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| [2025-11-01 18:33:41] |
| jsandlan - Posts: 86 |
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In case anyone else is seeing this issue on a footprint chart with zeros showing and has gone through the steps above - make sure you have the Volume Display Multiplier in the Numbers Bars study set to 1 because if the multiplier set below 1 you may have data but the data is rounded down to 0 in the displayed data.
Date Time Of Last Edit: 2025-11-01 18:34:01
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| [2026-01-02 18:00:50] |
| User422396 - Posts: 3 |
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Hello support, I did everything as specified by Sierra_Chart Engineering in the previous post. But my sierra chart only shows the recorded market depth data but isn't showing historical data. Is it still downloading? However, i can't see any files being created in the Data/Market Depth folder. Am I doing something wrong? Please help. |
| [2026-01-02 19:27:05] |
| John - SC Support - Posts: 44394 |
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How far back are you trying to get Market Depth data? There is only about 6 months of data kept, so you can not get anything further back than that. Also, if you are using a Continuous Futures Contract, then when you request the market depth data, it is always going to be for the current front month contract. If you want to see Market Depth data for a previous contract in the Continuous Contract chart, you need to open a chart for the specific contract (such as ESZ25-CME) and then download the missing Market Depth data for that specific contract. It will then be available for display in the Continuous Contract chart. Also, check the following setting and make sure it is set high enough to display the data as far back as you are wanting: Chart Settings: Maximum Market Depth Data Days to Load (Chart >> Chart Settings >> Market Depth menu) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-01-02 19:58:05] |
| User422396 - Posts: 3 |
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I am trying to get 180 days' worth of market depth data. However, according to the most recent update, my system is downloading historical market depth data for CL (Crude Oil) from July. It didn't download for other instruments like NQ, ES, GC. I haven't done anything new for CL (settings wise). Is there any specific reason for this or is there something that i can do after CL data loads completely to kickstart downloads for other symbols? Thank You! |
| [2026-01-02 20:23:06] |
| John - SC Support - Posts: 44394 |
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If the Market Depth data is not automatically downloaded, then you need to manually force it to download by following the information at Step #8 at the following link: Market Depth Historical Graph: Downloading Of Historical Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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