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Date/Time: Mon, 08 Dec 2025 14:10:08 +0000

[Programming Help] - Market Depth Data during recalculation

[2025-12-08 07:36:38] #1 [Go To First Post]
rinofarina - Posts: 9
Hello, I'm interested in developing an indicator based on Market Depth data. Using the s_sc functions Get(Bid/Ask)MarketDepthEntryAtLevel work perfectly well during realtime chart updates and replay. But, my interest is in properly updating my study during recalculation/reload, in a similar manner to the Bid & Ask Depth Bars study. I've looked and looked and can't seem to find a good answer. The only one that I've found and tried is to load the market depth data from historical data files on disk. Then "stream" the records during recalculation. This is very computationally expensive and slow, especially on higher time frames. Bid & Ask Depth Bars study seems to do it very well, and my question is how can I do the same in my study? Thanks!

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