Sierra Chart market depth historical graph setup: display options and the data you need to see past depth

What the Historical Market Depth Graph needs before it shows anything

A Sierra Chart market depth historical graph setup comes down to two things. First, the chart needs recorded market depth data for the period you want to see. Second, you need to set the display options so resting liquidity is readable as a heatmap. If either is missing, you get a blank background or a wall of identical color. This guide covers the data prerequisites first, because most empty heatmaps are a data problem, not a settings problem. It then walks through the display options and gives a validation routine on ES, NQ and CL.

This is not a DOM layout guide. If you want to configure the price ladder itself, see the Sierra Chart DOM setup for futures. Here the focus is the graph drawn behind the price bars, which most traders call the Sierra Chart liquidity heatmap.

Data prerequisites for viewing past depth

Market depth must be enabled in your data feed

The heatmap is built from order book updates, not from trades. Your data feed and your Sierra Chart service package must include market depth for the exchange you trade. For ES, NQ, YM, RTY and CL, that means CME Globex depth. A quick test is to open a Trade DOM on the symbol. If the bid and ask depth columns are empty while prices update, the heatmap cannot work either. Fix the feed or the subscription before you touch any chart setting.

Depth is only available from when it was recorded or downloaded

This is the point that confuses most people. A normal price chart can backfill years of trades. Historical depth has two possible sources:

• Recorded locally. Sierra Chart can save the depth updates it receives while the chart or symbol is open. That history starts from the moment recording was enabled and Sierra Chart was connected. If your platform was closed overnight, there is no depth for overnight hours on your machine.
• Downloaded from the server. Some data feeds offer historical market depth downloads for certain exchanges. Whether your feed supports it, and how far back it goes, depends on your feed and service package. Check your feed's documentation and your account's service package before assuming you can load past depth for a date you never recorded.

In Chart Settings, look for the options related to recording and downloading historical market depth data. The exact tab and label wording has changed between Sierra Chart versions, so search the Chart Settings documentation for "market depth" rather than relying on a remembered path. Then confirm that depth files are being written. They are stored under the Data Files Folder shown in Global Settings >> General Settings. If that folder has no depth files for your symbol, nothing is being recorded.

Tick by tick trade data for the bars on top

The heatmap colors the background. The price bars, footprint or volume drawn over it still come from trade data. For accurate overlays, set Global Settings >> Data/Trade Service Settings >> Intraday Data Storage Time Unit to 1 tick. Sierra Chart explains the trade-offs in its tick by tick data configuration guide. Changing this only affects data stored from that point on, so older trade history may still be in a coarser format until it is downloaded again.

Sierra Chart heatmap setup: the display options that matter

Open the chart, go to Chart >> Chart Settings, and find the Historical Market Depth Graph options. Enable the graph, then work through the settings below. Option names can differ slightly by version, so match them by function.

Bar period and chart type

The graph draws depth per bar column. With 5 minute bars on NQ, each column summarizes a lot of book changes and the picture looks blocky. With 1 minute bars, or a fine number of trades or seconds per bar, the columns are narrow and the resting orders show up as continuous horizontal bands. For index futures scalping, a 1 minute or 30 second chart is a practical starting point. Very fine bar periods load more depth data and can slow the chart on older machines.

Color scaling and maximum quantity

This is the setting that decides whether the heatmap is readable. The graph maps resting quantity at each price to a color intensity. You usually choose between an automatic scale and a fixed maximum quantity.

• Automatic scaling adapts to what is visible, which is convenient but means the same color can represent different sizes on different days.
• A fixed maximum keeps colors consistent. Anything at or above that quantity shows at full intensity.

A fixed maximum needs a reasonable starting value per instrument. Watch the DOM for a few minutes during regular hours and note what a large resting order looks like on that market. A size that stands out on CL will look ordinary on ES, where the book is typically much thicker at each 0.25 tick. Set the maximum near the size you consider significant, then adjust. If the whole chart is saturated, raise it. If almost everything is dark, lower it.

Bid and ask colors

Use two clearly different hues for bid side and ask side depth so you can tell at a glance whether the band is below or above the market. Keep the low end of each gradient close to the chart background color. High contrast at low quantities creates noise that hides the levels you actually care about.

Price increment per row

On ES and NQ the tick size is 0.25, on CL it is 0.01, on RTY it is 0.10 and on YM it is 1. If the chart's price increment is coarser than the tick size, several depth levels get merged into one row. That can make a thin book look heavy. For first setup, keep rows at one tick, then group only if the instrument has too many levels to read, which is more common on CL.

Overlays

The heatmap is most useful when you can see trades against it. Candles or bars are the simplest overlay. A footprint built with the Numbers Bars study adds bid and ask volume but can make the chart crowded. If you go that route, the Sierra Chart footprint chart setup covers readable settings. Many traders keep the footprint on a separate chart and leave the heatmap with candles only.

If you would rather start from a configured layout than build the colors and scaling from scratch, a Sierra Chart DOM with heatmap chartbook puts the order book next to a liquidity heatmap so you can compare resting orders with executions.

How to read the graph without overreading it

The heatmap shows where orders were resting and for how long. A bright horizontal band that persists on ES as price approaches it tells you size was sitting there. It does not tell you that size will stay. Orders can be pulled before price arrives, and that disappearance is part of what the graph shows. Some traders watch whether a band holds as trades print into it, gets consumed, or vanishes just before contact. Treat these as observations about the book, not as signals.

On EURUSD, keep expectations modest. Spot forex has no single central order book, so any depth you see reflects only your broker or venue. Exchange-traded currency futures carry CME depth, which is the same type of data the graph was designed around.

Validation routine before relying on it

Run these checks once, then after any data feed or version change:

1. Open a Trade DOM on the symbol and confirm depth columns update.
2. Enable the Historical Market Depth Graph and confirm color appears on the current session.
3. Check the Data Files Folder for depth files for that symbol.
4. Scroll back to a period when Sierra Chart was closed. A blank area is expected if you have no download source.
5. Compare a visible band with the DOM in real time. Quantities should match what the ladder shows at that price.
6. Reload the chart and confirm the past depth is still drawn.

If the chart itself is blank or studies are missing after loading a chartbook, that is a different issue. The chartbook not displaying correctly guide covers symbol mismatch and missing studies.

Conclusion

A working historical depth heatmap depends on data before display. Confirm depth is in your feed, make sure recording or downloading is active, and accept that past depth only exists for periods you captured or can download. Then set a sensible bar period, a fixed maximum quantity per instrument, distinct bid and ask colors, and one tick rows. Validate against the live DOM before trusting what the colors show.

FAQ

Why does my heatmap only show today?

Most likely depth was recorded only while Sierra Chart was running today, and your feed does not provide historical depth downloads for that symbol. Leave recording enabled and history will build up from now on.

Does the heatmap use a lot of disk space?

Depth files grow quickly on active markets like ES and NQ because every book update is stored. Check the size of the depth files in the Data Files Folder after a few sessions and remove old ones you no longer need.

Can I use the heatmap on a chart replay?

Replay can show depth only for periods where depth data exists on your machine. If you never recorded or downloaded depth for that date, the replay shows price without the heatmap.

Should I use the same maximum quantity for ES and CL?

No. Book sizes differ a lot between instruments, so set the maximum per chart based on what significant size looks like on that market's DOM.

To skip the color and layout work, browse the ready-to-use Sierra Chart chartbooks from SierraOnShop.