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Date/Time: Sat, 18 May 2024 12:40:10 +0000

Post From: Historical Market Depth

[2020-01-08 10:15:14] Link To Thread - Link To Post [Go To First Post]
User255315 - Posts: 128
Hi SC, We have recently been exploring another feature of Sierra viz. Recording market depth data for certain symbols. I have a few questions regarding this feature: 1. When the recording is turned on for a particular symbol through the Symbol Settings, how many levels of market depth are recorded. Also, how may I modify this setting of how many levels to record? 2. The documentation mentions that the historical depth will soon be made available for certain exchanges, regardless of the recording of the live market data. If so, could I get the depth files for the past year or so, for whatever symbols Sierra may have these recorded for ? 3. The recorded depth is in the form of .depth files, stored in Data folder of the installation. Could you guide us, with respect to extracting the recorded depth data, if I had to process it in a separate environment (say python)? Thanks in Advance!