Support Board
Date/Time: Tue, 09 Jun 2026 01:28:32 +0000
Question Regarding ImbalanceData Fields in Quote Board and ACSIL
View Count: 18
| [2026-06-08 20:04:22] |
| ramsoft2003 - Posts: 12 |
|
Hello Sierra Chart Support, I am trying to access auction imbalance data (Opening Cross / Closing Cross) through both the Quote Board and ACSIL. Environment: * Sierra Chart - Version 2913 64 bit. * Denali Data Feed * Nasdaq TotalView (NQTV symbols) * Teton Order Routing ACSIL functions being used: ------ s_SCBasicSymbolData Data; sc.GetBasicSymbolData(Symbol, Data, true); auto& Imb = Data.m_ImbalanceData; ------ I am reading the following fields: Imb.DateTimeUTC Imb.MatchingQuantity Imb.NonMatchingQuantity Imb.CurrentReferencePrice Imb.ImbalanceDirection Imb.CrossType ``` According to the ACSIL documentation and SCSymbolData.h, these fields appear to support imbalance data. To verify the data independently, I also created a Quote Board and added the following columns: * ImbalanceDateTime * ImbalanceMatchQty * ImbalanceNoMatchQty * ImbalanceRefPrice * ImbalanceDirection * ImbalanceCrossType I tested both methods and found that all imbalance-related fields remain blank or zero. Questions: 1. With Denali + Nasdaq TotalView, should the imbalance fields in Quote Board populate for symbols such as: * AAPL-NQTV * QQQ-NQTV * SPY-NQTV * JPM-NQTV during the Nasdaq Opening Cross and Closing Cross periods? 2. Should s_SCBasicSymbolData::m_ImbalanceData be populated through sc.GetBasicSymbolData() for those symbols? 3. Is any additional market data entitlement or exchange service required to receive NOII / auction imbalance data? 4. If these fields are not supported through Denali/NQTV, what is the recommended method to access Nasdaq opening and closing auction imbalance information from ACSIL? Thank you for your help. Regards, Ram Kumar |
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