Support Board
Date/Time: Mon, 15 Jun 2026 09:52:48 +0000
Post From: need help with reading t&s for a custom study.
| [2026-06-13 09:03:41] |
| User123923 - Posts: 13 |
|
In an ACSIL study I read Time and Sales for each bar via sc.GetTimeAndSales() and the per-record TotalBidDepth / ▎ TotalAskDepth fields are 0 on every record — both in real-time and in Replay. ▎ ▎ ▎ ▎ c_SCTimeAndSalesArray ts; ▎ sc.GetTimeAndSales(ts); ▎ int b, e; ▎ sc.GetTimeSalesArrayIndexesForBarIndex(sc.Index, b, e); ▎ for (int i = b; i <= e; ++i) { ▎ if (ts.Type != SC_TS_BID && ts.Type != SC_TS_ASK) continue; ▎ // ts.TotalBidDepth and ts.TotalAskDepth are always 0 here ▎ } ▎ ▎ Market depth is clearly being received and recorded: c_ACSILDepthBars* db = sc.GetMarketDepthBars(); returns ▎ populated bars (DepthDataExistsAt() true, non-zero GetLastBidQuantity() across levels) for the same symbol/session. ▎ The depth .depth file is being written. Top-of-book fields on the same T&S records (Bid, Ask, BidSize, AskSize) are ▎ populated normally only TotalBidDepth / TotalAskDepth are 0. ▎ ▎ Questions: ▎ 1. For this symbol/service, should s_TimeAndSales.TotalBidDepth/TotalAskDepth be populated, given market depth is ▎ being received and recorded to c_ACSILDepthBars? ▎ 2. Are these two fields real-time only i.e. populated on the live incoming record as the best bid/ask changes, but ▎ not retained when an ACSIL study re-reads the T&S array for already closed bars or after a reload/Replay? ▎ 3. Is there a setting that controls whether these fields are populated for ACSIL reads (e.g. the ▎ number of depth-levels setting, or a market-depth recording/storage option)? ▎ 4. If they are not available for historical/closed bar T&S reads, is c_ACSILDepthBars the intended ACSIL source for ▎ total bid/ask depth at execution time on closed bars? |