Support Board
Date/Time: Thu, 16 Apr 2026 05:52:59 +0000
Post From: sc.UsesMarketDepthData callback frequency with MBO subscription — called per event or per
| [2026-04-15 19:33:26] |
| User642863 - Posts: 1 |
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We are building an ACSIL custom study to capture MBO order flow data. Setup: Denali, Package 12, Subscribe Market By Order Data When Market Depth Subscribed = Yes, Use Separate Connection For Market By Order Data = Yes, MNQM26. The study sets sc.UsesMarketDepthData = 1 and on each callback calls sc.GetBidMarketLimitOrdersForPrice / sc.GetAskMarketLimitOrdersForPrice to snapshot the order queue at the top 10 levels, diffing by OrderID to detect adds and removes. Question: Does the study function get called once per individual MBO order event, or once per batch of events after multiple updates have been applied to the book? If two MBO events arrive in rapid succession (e.g. add then cancel at the same price), will our study be called twice, or could the intermediate state be invisible? The sc.UsesMarketDepthData documentation only describes subscription behaviour, not callback frequency. |