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Date/Time: Mon, 29 Apr 2024 07:00:48 +0000

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Post From: Your Market Depth Studies have a MAJOR flaw!

[2023-01-18 22:51:23] Link To Thread - Link To Post [Go To First Post]
voided - Posts: 45
Okay, after following your instructions to increase the "Max Historical Market Depth Days to Download" setting from its prior value (5) to 30, I was able to re-download the file for 2023-01-11. It increase from ~50 MB to ~180 MB. There are no more negative durations (records out of sequence). There aren't many > 10 second gaps either; however the 2700 second gap is still there. It appears that is due to the trading halt: ----- depth 3882636000080000 2023-01-11 22:00:00.080000 0.000 depth 3882636000080000 2023-01-11 22:00:00.080000 0.000 depth 3882636000080000 2023-01-11 22:00:00.080000 0.000 depth 3882636000080000 2023-01-11 22:00:00.080000 0.000 depth 3882636000080000 2023-01-11 22:00:00.080000 0.000 depth 3882638700426000 2023-01-11 22:45:00.426000 2700.346 depth 3882638700426000 2023-01-11 22:45:00.426000 0.000 depth 3882638700426000 2023-01-11 22:45:00.426000 0.000 depth 3882638700426000 2023-01-11 22:45:00.426000 0.000 depth 3882638700426000 2023-01-11 22:45:00.426000 0.000 ----- So, tentatively it looks like everything is good. I am still wondering why the file had missing / out of order records before, however, and how I can detect this and alert myself to re-download. Scanning the file for out of sequence records seems like one way, since that is easy to check. But missing records is harder to tell. I suppose for now my questions are all answered, except for how to detect records belonging to snapshot. Or any other hints about how to know records might be missing. Thanks again for your help. Date Time Of Last Edit: 2023-01-18 23:06:34