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Date/Time: Fri, 17 Sep 2021 04:29:49 +0000



[Programming Help] - Programmatic access to Depth Of Market data

[2021-07-27 00:28:41]
Rickty - Posts: 3
Can the levels of bid/ask data shown in Sierra Charts be accessed programmatically? In other words, aside from visually seeing the size posted at each price in the book, can I access and manipulate the data with code?

If so, can this also be done with historical data? I am assuming the Denali data feed will be needed for this - if it is possible - but if other data feeds can be used for this purpose that would also be of interest.

Thank you in advance.
[2021-07-27 13:31:51]
John - SC Support - Posts: 10622
Refer to the information here:
https://www.sierrachart.com/index.php?page=doc/ACSILProgrammingConcepts.html#ProgrammaticallyAccessingHistoricalAndCurrentMarketDepthData
[2021-08-25 22:29:03]
Rickty - Posts: 3
Thank you very much for the link. If it is ok, I have a few follow up questions:

(1) Is this functionality available with any of the supported data feeds? It looks like that is the case, but I want to be sure.
(2) Do you have a recommended data feed for accessing depth of book data?
(3) Currently I use the Denali data feed, which does not support stocks. If I add another feed for stocks, can both feeds run simultaneously in the same instance of SC, or will another installation of SC be needed for the second data feed?

Same questions for use of the Depth of Book data indicators already in SC.

Thank you very much.
[2021-08-27 13:43:19]
John - SC Support - Posts: 10622
1. Yes, it is available with any data feed as long as the feed includes the Market Depth data.

2. We always recommend using our data feeds for the Market Depth data.

3. Yes, both data feeds can run simultaneously, as long as that second data feed is from your trading service. In that case, you can get stocks from your trading service and the futures from us. You do not need a second installation to do this.
[2021-09-10 18:04:36]
Rickty - Posts: 3
To get equities I subscribed to Sierra Charts data feed which comes from BarChart, in addition to Denali. However, even though I have live equities data, I cannot get depth of market. I don't see an option for this in the settings, unless I missed something?

My goal is to get equities depth of market data into SC. My broker has not been helpful in this question, so I'm hoping there remains a way to do it in SC.
[2021-09-10 18:40:18]
John - SC Support - Posts: 10622
Unfortunately, our U.S. Equities data does not include the Level 2 Market Depth data. We are working on a new interface for NASDAQ data that will have the information. But this is still a few months away at this point.

The only way to get the Market Depth data for U.S. stocks into Sierra Chart (at this point) is to use Interactive Brokers. Refer to the information here:
https://www.sierrachart.com/index.php?page=doc/InteractiveBrokers.php

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