Support Board
Date/Time: Sat, 29 Nov 2025 02:08:34 +0000
[User Discussion] - DataBento to .depth and .scid
View Count: 1364
| [2024-06-13 14:18:45] |
| skalaydzhiyski - Posts: 107 |
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Hi guys, Is it possible (in theory) to convert databento data dump (depth + tick data) for a given date say (1 March 2020) into a corresponding .depth and .scid files for a ticker for this date so that I can get market replay through sierra for dates far back in history. The databento dump is in csv format. If I can encode the data into .depth and .scid binary files will this mean Sierra will be able to read from them as if it was a normal day? As in are there any restrictions that prevent sierra from doing DOM replay for dates that are further back in history ? All the best, Spas |
| [2024-06-14 15:40:36] |
| skalaydzhiyski - Posts: 107 |
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Actually I have figured out how to do it, please don't bother with the Support Request, All the best |
| [2025-06-23 20:53:09] |
| User463107 - Posts: 2 |
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I requested to DM with you, I would love to hear about how you managed to do this!
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| [2025-06-23 21:29:15] |
| skalaydzhiyski - Posts: 107 |
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I have a repo, please msg me tomorrow and i will show you how to parse the files
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| [2025-07-23 05:46:34] |
| User374573 - Posts: 2 |
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Also requested DM, would like to see your conversion method Thank you! |
| [2025-11-18 15:59:24] |
| User667594 - Posts: 4 |
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Im also interested this and has been looking for this. I've requested DM you. would love if you can share it. thanks
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| [2025-11-18 17:12:12] |
| skalaydzhiyski - Posts: 107 |
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Hi guys, I don't have the code anymore since I decided to just use the default data service from sierra and my strategies don't really require .depth (I think sierra provides up to 6 months) so if you need that you can just download it from sierra and run your strategies from acsil. What I do is i export the tick data from my charts into .txt then use Python to do analysis. Then when ready I implement my strategies in ACSIL and run inside Sierra. If you really need to use databento for depth older than 6 months -> approach is: 1. download mbo data 2. read in a .depth file downloaded for sierra for your symbol 3. read in the depth file downloaded from databento 4. ask an llm to write you functions to parse from one to ther other (databento -> .depth) NOTE: you will need 1 .depth file per day for Sierra to work properly 5. create a new symbol in sierra chart (name it something custom like ES-custom, this way you don't interfere with the built in symbols for sierra 6. enjoy All the best |
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