Support Board

Date/Time: Tue, 23 Apr 2024 13:49:38 +0000

Post From: Historical Market Depth Data Recording

[2020-01-16 17:32:06] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
So, the problem is essentially that you do not receive all of the updates, and the only way to mitigate that would be by lowering the chart update interval. Does sc.GetTimeAndSales() read the data from the respective SCID file, or is this cached in memory somewhere? The reason I am asking is because it seems that the files can sometimes take a bit of time do be updated, at least the .depth files do, which may have something to do with having a large number of charts open that each collect depth data. This regularly creates situations where the calculated value of the "Bid & Ask Depth Bar" study is not correct when calculated in real time, and it changes after recalculation. I had opened a thread about this some months ago, but never really got an answer. Presumably, there is a race going on between the study reading the data and whatever thread is updating the .depth files. Hence, why I am trying to do the entire calculation in memory and avoid reading stale data. BTW, are you ever going to offer L2 for equities via the SC feed? Not having that data mean flying half blind, although the current solutions seems to work reasonably well.