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Direct MessagesDate/Time: Sat, 04 May 2024 18:30:30 +0000
Historical Market Depth
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| [2020-01-08 10:15:14] |
| User255315 - Posts: 127 |
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Hi SC, We have recently been exploring another feature of Sierra viz. Recording market depth data for certain symbols. I have a few questions regarding this feature: 1. When the recording is turned on for a particular symbol through the Symbol Settings, how many levels of market depth are recorded. Also, how may I modify this setting of how many levels to record? 2. The documentation mentions that the historical depth will soon be made available for certain exchanges, regardless of the recording of the live market data. If so, could I get the depth files for the past year or so, for whatever symbols Sierra may have these recorded for ? 3. The recorded depth is in the form of .depth files, stored in Data folder of the installation. Could you guide us, with respect to extracting the recorded depth data, if I had to process it in a separate environment (say python)? Thanks in Advance! |
| [2020-01-08 22:57:55] |
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1. The number of depth levels recorded is whatever is actually coming into the system. Normally, this would be the maximum depth available from the data source. It is possible to control the number of depth levels coming into the system if you are using one of the Real-Time Exchange Data Feeds available from Sierra Chart. In this case, refer to the following setting: https://www.sierrachart.com/index.php?page=doc/DataSourceSettings.php#MaxDepthLevels Also refer to the information here on the Real-Time Data Feeds available from Sierra Chart: Real-Time Exchange Data Feeds Available From Sierra Chart 2. This is not available. Once we have the historical depth data available, then whatever historical depth data we have will become available. 3. Refer to the following: 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 |
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