Support Board
Date/Time: Mon, 09 Feb 2026 18:43:51 +0000
Post From: ACSIL Feature Request: Include depth NumOrders with Time & Sales records
| [2026-02-09 11:07:41] |
| n_x_b - Posts: 5 |
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Dear Sierra Chart Support, I’d like to submit a feature request related to ACSIL Time and Sales and market depth data (specially applicable for CME instruments when using the Sierra Chart data feed). Current behavior / limitation When retrieving Time and Sales through ACSIL, we receive s_TimeAndSales records. These records currently do not include the number of orders at the bid/ask (i.e., the “order count” component of the book). however the order-count information is available via market depth calls such as: GetBidMarketDepthEntryAtLevel(...)
GetAskMarketDepthEntryAtLevel(...)
which return s_MarketDepthEntry including NumOrders (and this field is populated for CME data with the Sierra Chart feed). However, this approach is somewhat disjointed for analytics: Because at best what this allows us to do is query the depth snapshot via Get*MarketDepthEntryAtLevel at the moment we process a certain batch of Time and Sales records which is not necessarily the exact depth order-count state at the time of each specific Time and Sales event contained within that batch. Why this matters For certain order-book / LOB analytics (e.g., Order Flow Imbalance and related microstructure studies), it’s very useful to know not just the depth quantity at each level, but also the number of resting orders behind that quantity synchronized to the event timestamp/sequence driving the tape. Having a precise NumOrders snapshot aligned with each Time & Sales record would allow much more accurate reconstruction of book dynamics and improve the accuracy of OFI-style analytics. Requested enhancement Would it be possible to expose the depth “number of orders” information in a way that is time-aligned with Time & Sales records? For example: 1. Add optional fields to s_TimeAndSales (or a parallel struct) that provide the best bid/ask (or relevant price level) depth order count at the moment the record is generated, or 2. or Provide an API that returns the depth entry (including NumOrders) for a given Time & Sales record sequence number / timestamp I’m not strongly attached to a specific interface, just the ability to reliably associate NumOrders with the corresponding tape event. Thanks for considering this request. I understand Sierra Chart has to keep interfaces stable and efficient, but having a synchronized “number of orders” view would allow for more precise and flexible LOB/OFI analysis for those poor souls trying to build these studies. Kind Regards n_x_b |