Support Board
Date/Time: Sun, 15 Jun 2025 16:34:46 +0000
Post From: Accessing Real Time bid and ask prices in replay - sc.Bid and sc.Ask Discrepancies?
| [2025-05-28 16:41:37] |
| codac99 - Posts: 9 |
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/// TLDR: OP Ask question -> SC support not respond -> OP annoyed -> OP leave Sierra Chart /// Hi SC Team, Will keep this quick. I have built a cpp study for the logging of best bid and ask prices during a historical replay when a condition is met (when the best bid and ask price changes, I want to log them - see below). This is current being posted via TCP. // Initial Logging Condition if (BestBid == LastBid || BestAsk == LastAsk) return; I cannot replicate the output when I apply this same condition to the depth files directly, utilising the documentation to construct a top of book DOM effectively. I have absolutely no concerns with this as I have benchmarked it against Databento's data for the same date range that was constructed from MBO and the match is 100%. What I need to know... What are/could be the limitations of using sc.Bid and sc.Ask to check every single bid and ask price change, I have tried multiple bar periods including 1 Trade index and UpdateAlways settings at minimum, as well as all possible combinations of this and auto-looping (0 and 1). Is sc.Bid and sc.Ask based on the raw depth data (this is highly important for alignment as I will be taking a snapshot and piping to deep learning network, really all I care about), if not, how can this be done. It is worth noting regarding the last question, I attempted to utilise the real time market depth functions and then get the best bid and ask from that but there was even more issue with loss of granularity of the extracted bid and ask price pair from this. Is there a way to direct raw data feed into external program, yes I am almost certain there is not but can't hurt to ask. This is end of the line for my model implementation, usually this is first but Databento decided to no longer support usage based live data so here we are. If any of your proposed solutions impact LIVE data processing, please let me know so I can start mentally preparing a solution. Thanks Team, CW Date Time Of Last Edit: 2025-06-08 03:55:28
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