Support Board

Date/Time: Sat, 20 Apr 2024 03:29:02 +0000

Post From: Bid and Ask Depth Bars (1950) showing spikes and incorrect values

[2019-07-22 14:13:00] Link To Thread - Link To Post [Go To First Post]
User132748 - Posts: 159
The calculations are based on the actual market depth data as it changes. The calculations are much more complete now than previously. The depth data we would record with time sales data was only snapshot. There is a considerable more degree of precision now than previously. Why only a snapshot?? So isn't the s_TimeAndSales data structure with s_TimeAndSales::Type set to SC_TS_BIDASKVALUES supposed to contain EVERY bid/ask quotation from data feed and hence record every depth change?? (Of course reading single recent T&S record at chart update interval would obviously give just a snapshot but I mean proper processing of ALL T&S records including those between chart update interval.)