Support Board
Date/Time: Sun, 02 Aug 2026 01:40:18 +0000
Post From: ACSIL market depth / market-by-order data consistency and OrderQuantity semantics.
| [2026-08-01 18:54:55] |
| John Bibb - Posts: 2 |
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Documentation clarification request regarding ACSIL market depth and market-by-order functions (not requesting programming help). 1) Within a single call to a study function, do sc.GetBidMarketDepthEntryAtLevel() / sc.GetAskMarketDepthEntryAtLevel() and sc.GetBidMarketLimitOrdersForPrice() / sc.GetAskMarketLimitOrdersForPrice() read from the same internal market depth state? Specifically: can the s_MarketDepthEntry::Quantity and s_MarketDepthEntry::NumOrders values returned for a price reflect a different update instant than the order list returned for that same price during the same study function call? If they are not guaranteed to be consistent, is there a recommended way to obtain a consistent view? 2) Does n_ACSIL::s_MarketOrderData::OrderQuantity represent the displayed quantity of the order as disseminated by the market data feed, excluding any hidden or reserve quantity that is not displayed? Thank you! |