Support Board
Date/Time: Wed, 30 Sep 2026 22:56:33 +0000
LMAX Demo market depth: .depth timestamp and feed completeness
View Count: 14
| [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 |
| [2026-09-30 22:04:26] |
| Sierra_Chart Engineering - Posts: 25011 |
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1. The original timestamp. 2. Yes, every update is processed and transmitted and stored. But the LMAX demo Data Feed provides much less updates compared to the live feed. Yes: are those differences entirely determined by LMAX rather than Sierra Chart?
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