Support Board
Date/Time: Sun, 15 Jun 2025 17:22:37 +0000
Post From: Accessing Real Time bid and ask prices in replay - sc.Bid and sc.Ask Discrepancies?
| [2025-06-02 15:22:45] |
| codac99 - Posts: 9 |
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Hi User431178, Appreciate the outreach however this isn't really what we are after and is, in my opinion, a fundamentally flawed way to measure the best bid and ask prices. Just so it is out there, I am defining the best bid and ask as the lowest ask price and highest bid price where there is passive liquidity available, this is very simple. We can't consume (trade) liquidity that isn't there for us and so it is no guarantee that the last price levels that have traded still hold limit orders that aggressors can hit. This then leads into the next issue we have had which is using the c_ACSILDepthBars to access the volume at price levels to construct a limit order book. The interface member is absolutely useless with the above context, because the best bid and ask prices are not reflective of the best levels in the book, and thus we need to search the whole set of available levels to locate the best bid and ask levels and/or build a real time LOB unambiguously. We have utilise the 1 trade chart, it makes not difference. I think my best option is to attempt to get synchronicity with live data (not in replay) using the current market depth data member but I haven't taken this any further than a thought. If that works, I am set, we have a very promising Deep Learning model that has been trained on 5 years of tick-by-tick CME data. Please note my above opinion and finding applies to only processing historical data using DepthBars member. Do you know if there is any way to access these bid and ask prices as defined above in real time when the feed is live and not reading from the depth files in the data folder? Thanks again User431178 Date Time Of Last Edit: 2025-06-02 15:24:24
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