Support Board

Date/Time: Sat, 20 Apr 2024 05:31:10 +0000

Post From: Historical Market Depth Data Recording

[2020-01-14 21:02:40] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
I am trying to understand how the historical market depth data, as for instance used by the "Bid & Ask Depth Bars" study, is recorded when only L1 data is available, e.g. when using the SC data feed for equities. My assumption was that SC would record the latest bid/ask volume at each level as the L1 quotes become available in order to build up the book data. Now, I have attempted to recreate that approach by recording sc.BidSize/sc.AskSize for their respective levels. But while the data looks overall reasonably similar, there are usually some discrepancies for each bar between the data collected this way and the data available via the market depth API. The question is why. Do I misunderstand the way SC does collect this data? Is there a way to receive the same data that is saved into as the depth data in real time without having to read from the file and thus avoid the costly I/O? And which set of data is more accurate? 'MaintainAdditionalChartDataArrays' and 'UpdateAlways' are enabled, so this should not be the case that the study is simply not being called when the data changes.