Support Board
Date/Time: Wed, 30 Apr 2025 11:09:37 +0000
Post From: Accessing `NumOrders` During Market Depth Replay from Historical Data
| [2025-04-19 17:45:59] |
| Thanthou - Posts: 6 |
|
Hello Sierra Chart Team, I’ve been working with the historical `.depth` files available through your data services, and I’ve noticed that these files clearly include the number of orders (`NumOrders`) along with quantity and price at each depth level. I’ve confirmed this by unpacking the binary structure directly (e.g., via Python using `struct.unpack('qbbhfII', ...)`). However, during a chart replay using `sc.GetAskMarketDepthEntryAtLevel()` and `sc.GetBidMarketDepthEntryAtLevel()`, the `NumOrders` field is always reported as zero — even though quantity and price are populated correctly. Could you clarify: 1. Is this the expected behavior — i.e., `NumOrders` is not loaded during market depth replay even if it exists in the `.depth` file? 2. If so, is there any current or planned way to access the historical `NumOrders` during replay (perhaps via internal APIs or through an alternative study)? 3. If not currently supported, would it be feasible to request that `NumOrders` be surfaced during replay for more complete reconstruction of historical depth? Thank you for your time and your excellent platform. |