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access market depth historical files with ACSIL

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[2021-09-02 17:50:48] #1 [Go To First Post]
onnb - Posts: 663
Just want to confirm something Looking at this link, Market Depth Data File Format: Market Depth Data File Structures Used I can use that header to read the market depth files that are either recorded or downloaded in the MarketDepthData folder With these files, I would have access to all order book updates timestamped to MS Correct?

[2021-09-02 18:50:04] #2 [Go To First Post]
John - SC Support - Posts: 41850
Correct. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2022-11-01 00:43:29] #3 [Go To First Post]
onnb - Posts: 663
Following up on this The timestamps are UTC, yes? I noticed that at midnight a new file is created. The first row is a command 1 (reset) and then a list of commands 2 and 3 adding the bid/ask levels. My understanding is that the 1 command can be used to build the initial order book as that is a point to start from scratch, yes?

[2022-11-02 20:39:32] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 20901
Yes timestamps are UTC. Not necessarily: My understanding is that the 1 command can be used to build the initial order book as that is a point to start from scratch, yes? Periodically though there is an entire writing of the entire order book to the file. We have to examine though the timing of that. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-11-02 20:40:51

[2022-11-03 05:25:22] #6 [Go To First Post]
onnb - Posts: 663
Periodically though there is an entire writing of the entire order book to the file. I noticed that whenever I connect to the data feed there will be a 1 command and then a writing of the entire book. I also noticed that the data persisted to disk when I disconnect. I haven't monitored it over a long period so not sure if it writes to a file periodically or not. Not super urgent but if you do get more info/documentation that would be nice to have.

[2022-11-04 17:22:05] #7 [Go To First Post]
onnb - Posts: 663
For anyone with an interest in researching limit order books https://trade29.atlassian.net/wiki/spaces/GP/pages/145620993/Sierra+Chart+Market+Depth+Converter

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