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Direct MessagesDate/Time: Fri, 26 Apr 2024 20:02:35 +0000
ACSILDepthBars to get last data not always available
View Count: 767
| [2017-02-24 11:27:28] |
| wwwingman - Posts: 185 |
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Hi I am trying to use the ACSIL c_ACSILDepthBars data through the GetLastQuantity function. There are moments (that can last few seconds) during which I have no data in the c_ACSILDepthBars (through DepthDataExstsAt) although I see changes on the DOM chart (1 data provider, IQFeed, no trading feed). On the open of some bars I can wait 10-15 seconds before the data is available. I adjusted my computer time, and this seem to happen less, but it clearly happens. The core of the program is below (I am not asking for debugging.. the goal is to show it is simple and that I probably don't understand something right..). Have I missed something ? Please advise. -- W if (sc.SetDefaults) { ... sc.UpdateAlways = true; } c_ACSILDepthBars* _pDepthBars = sc.GetDepthBars(); if (_pDepthBars == NULL) return; if (!_pDepthBars->DepthDataExstsAt(_currentBarIndex)) { logMsg.Format("_currentBarIndex<%d> NO Depth", _currentBarIndex); sc.AddMessageToLog(logMsg, 0); return; } int _priceTickIndex = _pDepthBars->GetBarLowestPriceTickIndex(_currentBarIndex); do { int _lastQuantity = _pDepthBars->GetLastQuantity(_currentBarIndex, _priceTickIndex); ... } while (_pDepthBars->GetNextHigherPriceTickIndex(_currentBarIndex, _priceTickIndex)); |
| [2017-02-26 20:55:13] |
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We need to look at this from the perspective of the Market Depth Historical Graph study. Add that study to the chart. Set this input to Yes: https://www.sierrachart.com/index.php?page=doc/MarketDepthHistoricalGraph.php#StudyInputs_ShowQuantityNumbers When you notice the problem, post an image of the chart following these instructions here: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2017-02-27 07:59:21] |
| wwwingman - Posts: 185 |
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Hi Thank-you for your answer. >When you notice the problem, post an image.. I found it hard to illustrate through an image. Please find enclosed-by a small video (19 sec) with the MarketDepthHistoricalGraph (show quantity numbers activated), the dom, and my "no depth" logs. -- W. P.S. (sorry for the audio..). Date Time Of Last Edit: 2017-02-27 07:59:41
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 NoDepthExample.mp4 - Attached On 2017-02-27 07:51:57 UTC - Size: 3.99 MB - 238 views |
| [2017-02-27 10:27:37] |
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Update to the latest prerelease following the instructions here: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate We made a change to use the IQ Feed timestamp for market depth data. Previously the local system time was being used and apparently that was not correct on your system. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2017-02-27 12:28:44] |
| wwwingman - Posts: 185 |
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OK. Thank-you. I confirm the code above does not produce anymore the case of no data at the open of the bar, or at any other moment. ==> problem solved, thank-you ! However, the data does not update in real time like the DOM. Bottom line : the Market Depth Historical Graph and the c_ACSILDepthBars Api ARE are useful for historical purposes, they contain all the data sent by the data provider, but they ARE NOT useful for real time analysis of the Level II data because they lag or do not necessarily update as soon as the data is received. -- W. |
| [2017-02-27 19:42:44] |
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On this page: http://www.sierrachart.com/index.php?page=doc/c_ACSILDepthBars.php We have added this: It is also supported to access the most recent market depth data through the sc.SymbolData ACSIL member. This is an alternative to access the current market depth data. You will also need to access the current market depth data through this ACSIL member whenever market depth data changes after a chart bar has completed but before there is a new trade for the next bar which has not yet been displayed because there has not yet been a trade for that new upcoming bar.
The above is the only explanation for this: However, the data does not update in real time like the DOM. Bottom line : the Market Depth Historical Graph and the c_ACSILDepthBars Api ARE are useful for historical purposes, they contain all the data sent by the data provider, but they ARE NOT useful for real time analysis of the Level II data because they lag or do not necessarily update as soon as the data is received. Otherwise, there should not be any problem. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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