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Date/Time: Fri, 26 Apr 2024 14:09:26 +0000

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Bid/Ask pulling and stacking not showing on replays

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[2023-05-25 18:13:19] #1 [Go To First Post]
User810899 - Posts: 10
Hello everyone, I have a problem with my DOM when it comes to replay. My only way to have access to the resting and pulling/stacking of bid/ask is to let my computer run constantly to have the data to be replayed. If my computer was not live the day I want to replay I will only have the market orders in the DOM. Could someone help me ? I already activated "support downloading historical depth data" in general settings. I circled in red the data I need to have on replays (I do have them when it is live). Thanks a lot


Sierra support.png / V - Attached On 2023-05-25 18:12:27 UTC - Size: 40.87 KB - 65 views

[2023-05-25 20:17:52] #2 [Go To First Post]
John - SC Support - Posts: 31131
Go through the instructions for getting the Historical Market Depth Data at the following link: Market Depth Historical Graph: Downloading Of Historical Market Depth Data If you do not automatically get the data you need, then follow the instructions in that section for right-clicking and selecting "Download Depth Data From Date-Time". Also, be sure to follow the instructions at the following link regarding replaying Market Depth data: Replaying Charts: Replaying of Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-26 08:42:26] #3 [Go To First Post]
User810899 - Posts: 10
Thanks for your message. I re-went through all the process you mentionned and everything is activated properly. Let me insist on the fact that I have everything I need when I am live (pulling, stacking and resting orders). The only problem is when I want to replay a session I did not record by being live. Example : I was live on the 25th of may, if I replay it I will have all the data I need. I was NOT live on the 24th of may, if I replay it I will NOT have all the data I need. See here : https://www.sierrachart.com/image.php?Image=1685090472789.png Also, I tried to manually load the market depth data from the date I want to be replayed but nothing changes. Hope you'll find a solution :) Thanks a lot. Date Time Of Last Edit: 2023-05-26 09:05:29


Sierra 2.png / V - Attached On 2023-05-26 08:37:31 UTC - Size: 58.46 KB - 55 views

[2023-05-26 14:15:14] #4 [Go To First Post]
John - SC Support - Posts: 31131
Check the following setting and make sure it is large enough to cover the time period for which you are wanting to download the Market Depth data: Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) Also, if you are using a Continuous Futures Contract, then you will not get any data for prior contracts. You would have to open a specific prior contract and then download any missing Market Depth data for that particular contract, then you will be able to view it in the Continuous contract. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-26 17:33:03] #5 [Go To First Post]
User810899 - Posts: 10
Unfortunately did the change and still not working. Entered 15 historical days to load for market depth. I took the 23rd of may to test and does not work so contract rollover does not seem concerned either. Any other solution please ? :(

[2023-05-26 18:02:40] #6 [Go To First Post]
John - SC Support - Posts: 31131
What is the symbol for which you are having the issue? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-26 18:06:19] #7 [Go To First Post]
User810899 - Posts: 10
It is on the ES : "F.US.EPM23"

[2023-05-26 20:24:11] #8 [Go To First Post]
John - SC Support - Posts: 31131
With regards to the 23rd of May. Have you used the Market Depth Historical Graph to verify that there is (or is not) Market Depth data for that day, or what part of the day the data is missing for? And then have you used the right-mouse option to force a download of the missing market depth data from that day? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-26 21:14:43] #9 [Go To First Post]
User810899 - Posts: 10
For the 23rd of may I have everything but the pulling and stacking. I have the market orders (hitting the BID and lifting the offer live) and the resting liquidity above and below my price (~heatmap) "And then have you used the right-mouse option to force a download of the missing market depth data from that day? " --> Yes I did multiple times but no change. I still miss (and only miss) the pulling and stacking illustrated here : https://www.sierrachart.com/image.php?Image=1685090472789.png on my DOM (and you can see the market orders in the DOM though) Thanks for helping, really need that to backtest :)

[2023-05-26 21:20:55] #10 [Go To First Post]
John - SC Support - Posts: 31131
This last image has us a bit confused. If the replay is running when you took this image, then we are not seeing the Market Depth data in the DOM. But you state that you do see the "resting liquidity above and below my price". For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-26 22:16:33] #11 [Go To First Post]
User810899 - Posts: 10
When I talk about market depth, it is the study on my footprint ("Market depth historical graph"). Nothing on the DOM. And all things considered I am not even sure I've got it displayed on my footprint when the data has not been recorded live. I just add one last screenshot though to prove that I did what you suggested and market historical depth is indeed loading when I open Sierra Chart. One distrubing thing though, when I open the market depth data file (in local disk C), the files that are complete because I was in front of my computer are MUCH bigger than the size of the files that auto download and I haven't recorded by being live.


Sierra5.png / V - Attached On 2023-05-26 22:14:15 UTC - Size: 14.39 KB - 54 views

[2023-05-26 22:20:07] #12 [Go To First Post]
User810899 - Posts: 10
A little more evidence of what I did attached ;)


Sierra4.png / V - Attached On 2023-05-26 22:19:04 UTC - Size: 20.85 KB - 54 views Sierra3.png / V - Attached On 2023-05-26 22:19:31 UTC - Size: 36.52 KB - 51 views

[2023-05-27 13:23:21] #13 [Go To First Post]
User810899 - Posts: 10
Found a solution ! Went to my file C:\SierraChart\Data\MarketDepthData Deleted all the files. Launched sierra. Nothing appeared yet. Clicked on "download depth date from date/time" Bingo You may make my post public if it may help someone and at least you know ;)

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