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Direct MessagesDate/Time: Sun, 28 Apr 2024 22:12:31 +0000
SOFR futures depth data - not receiving
View Count: 170
| [2024-03-22 20:30:40] |
| Chad - Posts: 231 |
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I've got CME SOFR futures ('SR3?##-CME' as well as 'SR1?##-CME') market depth enabled/supported under Symbol Settings, as well as recording 60 levels of it, but very scant receipt in the MarketDepthData subdir for them. Any idea what might be wrong? I get all the expected depth data for other CME Group exchange markets. Date Time Of Last Edit: 2024-03-22 20:33:29
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| [2024-03-22 22:47:54] |
| John - SC Support - Posts: 31159 |
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These are not highly traded futures. The contract with the most volume right now is the December 2024 contract, and even it shows very little movement. Therefore, not having a large Market Depth file is not unusual, as there are not many changes occurring.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-23 06:04:38] |
| ticinotrader - Posts: 378 |
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@Chad I record the depth of the SR3 futures covering the next 9 expirations (although I do not record the SR1). Even distant expiration months have significantly larger depth files than the other symbols that are otherwise considered to be very active. See the attached screenshot to compare the size of the SR3H26 and the current 6EM24 last Friday. The depth files of the SR3 should be this large, not because there is a lot of price movement on any given day, but because of the constant pull/stack change in depth. If you can provide examples of depth sizes you are concerned about, I will check and let you know how mine compares. |
 20240323_065445.png / V - Attached On 2024-03-23 06:03:58 UTC - Size: 95.07 KB - 32 views |
| [2024-03-23 14:16:13] |
| Chad - Posts: 231 |
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@John, thank you, I should've checked CME's site first for Volume & OI data: https://www.cmegroup.com/markets/interest-rates/stirs/three-month-sofr.volume.html @ticinotrader, thank you for the useful commentary. As an example, SR3H24 depth for 3/8/24 shows on my drive as 398KB. I'll add the later quarterly expiries to my Chartbook for depth download now. |
| [2024-03-23 15:37:50] |
| ticinotrader - Posts: 378 |
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@Chad Couple things/links: CME Daily Vol/OI: https://www.cmegroup.com/market-data/browse-data/exchange-volume.html CME SR3 Vol/OI: https://www.cmegroup.com/markets/interest-rates/stirs/three-month-sofr.volume.html They clearly show that the daily volume/OI of interest rate futures/options (a large part of which is SR3) is a multiple of other futures contracts (interest rate OI is more than twice as large as the other futures combined). I recently posted a request asking the SC team to make the full market depth of the SR3 available in SC (instead of the limited 5 levels that were available before): SR3 Futures contracts Shortly after my request, the full depth data started to flow into my DOMs, so I guess the SC team has already done that, and I am very grateful for that. But I also noticed that the historical depth data is still not available for SR3. I think it is coming soon, but probably SC support can confirm this more precisely. In the meantime, I have to collect depth data 'manually' - this is what I have been doing for a long time (running an SC instance 24/7 on a server with chart DOMs open for each symbol I need depth for). Comparing the file sizes you mention, the depth I have for SR3H24 8 March 2024 is 9.2MB. This is a depth file that I collected manually, and it still contains 5 levels (as that was all that was available at the time). So I suspect that the file you have is the partial depth file for that day (not the full session) that you inadvertently recorded manually at a time when there were still 5 levels of depth available. I suspect it is not a historical depth file downloaded from SC servers. Sorry for the long message, hope this helps. Probably SC support will be able to confirm this and provide some information on the availability of historical depth data. |
| [2024-03-23 15:56:14] |
| Chad - Posts: 231 |
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@ticinotrader Your explanation is very concise, I greatly appreciate it! Yes, downloads are being done manually, but only once a week, since I've counted on historical depth backfilling for the prior 4 trading sessions. Guess I'll need to keep SC open to capture SR3 real-time, until historical depth is made available. |
| [2024-03-25 15:19:27] |
| Sierra_Chart Engineering - Posts: 14124 |
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You are running an older version of Sierra Chart. Update to the current version: Software Download: Fast Update We checked and there is historical market depth data maintained for this symbol but we see why you do not have access to it: But I also noticed that the historical depth data is still not available for SR3.
At the latest this will be resolved, next week but we will work on transferring the data over this week to other servers. 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: 2024-03-25 15:19:42
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