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Date/Time: Sat, 28 Nov 2020 02:43:29 +0000



Market Depth Data File Structure

[2020-11-22 20:50:59]
rinofarina - Posts: 2 | Ending Date: 2021-10-23
Hi!

I'm attempting to read historical depth files from Data\MarketDepthData\*.depth using the structures described here: https://www.sierrachart.com/index.php?page=doc/MarketDepthDataFileFormat.html

While de-serializing the data appears not to be a problem, the data in s_Record.DateTime does not seem to return a correct value. I've tried creating instances SCDateTime and SCDateTimeMS from that double value, but I can't seem to get a meaningful value (one that I can match to a chart bar open/close SCDateTime).

My question is how to correctly interpret the value in s_Record.DateTime.

Thanks!
[2020-11-22 22:49:15]
Sierra Chart Engineering - Posts: 91599 | Ending Date: 2021-04-05
Review the bottom of this page:
https://www.sierrachart.com/index.php?page=doc/MarketDepthDataFileFormat.html

We have added a section providing further details.

When reading it, you will want to use this function to set it into a SCDateTimeMS:
SCDateTimeMS::SetInternalDateTime

Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-11-22 22:50:48
[2020-11-23 10:27:09]
rinofarina - Posts: 2 | Ending Date: 2021-10-23
Thank you for your prompt reply. I'm getting a reasonable SCDateTimeMS value now.

It seems the records in these files are out of order, WRT DateTime value. Is that expected?
[2020-11-23 18:47:22]
Sierra Chart Engineering - Posts: 91599 | Ending Date: 2021-04-05
No that is not expected. It may relate to the data feed you are using which is IQ Feed.

Make sure your computers clock is also set correctly because there can be certain records written which do use the local computer clock related to connections and disconnections to and from the data feed. Refer to help topic 38:
https://www.sierrachart.com/index.php?page=doc/helpdetails38.html
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

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