Support Board

Date/Time: Tue, 16 Jun 2026 15:28:37 +0000

[Programming Help] - ACSIL GetBidMarketDepthEntryAtLevel returns all-zero and GetTimeAndSales returns empty

[2026-06-16 11:03:14] #1 [Go To First Post]
Usertobedon’tabuse - Posts: 1
Setup: Denali Exchange Data Feed + Teton Order Routing. CME Market Depth (non-pro) entitlement active, trading ▎ account verified. Windows 11. ▎ ▎ Problem: In a custom ACSIL study (sc.UsesMarketDepthData = 1 in SetDefaults, sc.AutoLoop = 0, sc.UpdateAlways = 1): ▎ - sc.GetBidMarketDepthNumberOfLevels() returns 10, but sc.GetBidMarketDepthEntryAtLevel() (and ...ForSymbol()) ▎ return entries with Price=0 and Quantity=0 for ALL levels. ▎ - sc.GetTimeAndSales() returns an empty array (Size 0), even though trades are clearly processed (per-bar ▎ BidVolume/AskVolume/Delta/CumulativeDelta update live on the same symbol). ▎ ▎ The Market Depth window and Time & Sales window for the same symbol (ESU26_FUT_CME) show live, correct data. Bars, ▎ VWAP, Volume Profile (POC/VAH/VAL) all work. ▎ ▎ Already tried (no effect): 'Enable Market Depth Data and Daily Session Values' = Yes; 'Maximum Market Depth Levels' ▎ = 0 + reconnect; 'Number of Stored Time and Sales Records' = 5000; opening Market Depth + T&S windows on the chart; ▎ full Sierra restart + data feed reconnect. ▎ ▎ Question: What is required for an ACSIL study to actually receive market depth quantities and Time & Sales records, ▎ when the DOM and T&S windows already display them? Why does NumberOfLevels return 10 with all entries zero?

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