Support Board
Date/Time: Fri, 27 Jun 2025 20:18:20 +0000
Post From: market depth-level2 problem
| [2021-09-28 18:20:47] |
| User504778 - Posts: 22 |
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My understanding is that each exchange has its own order book, for example NASDAQ, NYSE, ARCA, which are separate from each other. In IB's TWS, you will be able to add up all the orders from the exchanges that you subscribe to, but Sierra Chart can only get Level 2 data from a specific exchange, which is a subset of what you get in TWS. I chose NASDAQ because I don't want to pay for multiple Level 2 data and I assume NASDAQ volume is indicative of the total volume in the market. SMART is an automatic route that IB uses for order processing. However, you cannot use "NIO-STK-SMART" to get level 2 data according to SC's documentation, you have to choose between "NIO-STK-NYSE", "NIO-STK-ARCA" or "NIO-STK-ISLAND" (which is NASDAQ), etc. depending on where you want to get the Level 2 data from. ACSIL is a programming language for developing customized studies in Sierra Chart. It's based on C++. You can either learn the language yourself or hire a programmer to do it for you. See: Advanced Custom Study Interface and Language (ACSIL) Again, Sierra Chart is expected to come up with its own NASDAQ data feed in a month, which I look forward to. It may work better than the current approach with IB. Date Time Of Last Edit: 2021-09-28 18:31:16
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