Support Board
Date/Time: Wed, 16 Sep 2026 02:41:22 +0000
[Programming Help] - ACSIL market depth / market-by-order data consistency and OrderQuantity semantics.
View Count: 468
| [2026-08-01 18:54:55] |
| John Bibb - Posts: 2 |
|
Documentation clarification request regarding ACSIL market depth and market-by-order functions (not requesting programming help). 1) Within a single call to a study function, do sc.GetBidMarketDepthEntryAtLevel() / sc.GetAskMarketDepthEntryAtLevel() and sc.GetBidMarketLimitOrdersForPrice() / sc.GetAskMarketLimitOrdersForPrice() read from the same internal market depth state? Specifically: can the s_MarketDepthEntry::Quantity and s_MarketDepthEntry::NumOrders values returned for a price reflect a different update instant than the order list returned for that same price during the same study function call? If they are not guaranteed to be consistent, is there a recommended way to obtain a consistent view? 2) Does n_ACSIL::s_MarketOrderData::OrderQuantity represent the displayed quantity of the order as disseminated by the market data feed, excluding any hidden or reserve quantity that is not displayed? Thank you! |
| [2026-08-02 23:01:54] |
| Sierra_Chart Engineering - Posts: 24877 |
|
No definitely not: do sc.GetBidMarketDepthEntryAtLevel() / sc.GetAskMarketDepthEntryAtLevel() and sc.GetBidMarketLimitOrdersForPrice() / sc.GetAskMarketLimitOrdersForPrice() read from the same internal market depth state?
These are completely separate from each other. And separate streams of data.There is no recommended way and there is no guarantee they would be consistent: is there a recommended way to obtain a consistent view?
But the degree of inconsistency if it exists is not known either.And also market by order data for quantities below 3, are not even included. We are not sure about this: 2) Does n_ACSIL::s_MarketOrderData::OrderQuantity represent the displayed quantity of the order as disseminated by the market data feed, excluding any hidden or reserve quantity that is not displayed? 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: 2026-08-02 23:02:43
|
To post a message in this thread, you need to log in with your Sierra Chart account: