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Direct MessagesDate/Time: Tue, 07 May 2024 23:18:54 +0000
Market Depth File Format
View Count: 1273
| [2018-11-11 11:45:12] |
| User12089 - Posts: 350 |
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The file format of the Intraday Data File is documented here, including what C++ Data Structures from the SC API to use when populating it: Intraday Data File Format is there something similar for the relatively new Market Depth File and if not (which is what I think is the case), can you please update the documentation asap and also provide the info directly here (and yes I do know about the DTC Server Option too, but my question is specifically about the file format) |
| [2018-11-12 16:43:55] |
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We started to put together the documentation here: Market Depth Data File Format 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 |
| [2018-11-12 16:56:35] |
| User12089 - Posts: 350 |
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thank you, look forward to the full docs and also eventually API lib for parser and writer (although the doc can already be used to create such) ps: interesting - so in the Market Depth Files you keep the actual Book Modification Commands (ie "tick" by "tick"), rather than already "digested" and pre-aggregated limit order volumes at specific price levels and times |
| [2018-11-12 17:42:33] |
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There definitely it is not got going to be any kind of API available. You have to create that yourself and this is not going to be difficult. The files do contain each and every single market depth update. This is why these files are large. 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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