Support Board
Date/Time: Wed, 30 Sep 2026 23:51:10 +0000
Post From: LMAX Demo market depth: .depth timestamp and feed completeness
| [2026-09-30 12:21:40] |
| User312118 - Posts: 1 |
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Hello Sierra Chart Engineering, I am evaluating LMAX Global FX Level 2 market depth data for quantitative research and would like to clarify two technical points about recording LMAX data with Sierra Chart. 1. When Sierra Chart records LMAX market depth into a .depth file, does the DateTime field contain the original timestamp supplied by LMAX, or the local timestamp when Sierra Chart receives/processes the depth update? 2. When using an LMAX Demo account in 2026, does Sierra Chart record every market-depth update that it receives from LMAX without any additional Sierra-side throttling, conflation, filtering, or reduction of depth levels? In other words, if the LMAX Demo feed differs from the LMAX Live feed in update frequency, number of depth levels, or displayed quantities, are those differences entirely determined by LMAX rather than Sierra Chart? Thank you. Kind Regards, Akos Szabo |