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Direct MessagesDate/Time: Tue, 21 May 2024 07:30:56 +0000
[User Discussion] - Historical Market Depth
View Count: 1738
| [2014-05-24 16:07:23] |
| User57180 - Posts: 8 |
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Is there any way to access Market Depth Historically at levels 2-10? I know this is possible for the Inside Bid and Ask but can this data be gotten too for any of the other levels: -Either with an Indicator -Or a Function from a Custom Study. -Or a Datafeed that might provide it historically? I doubt there are feeds that provide this. The data would be massive. Thanks, |
| [2014-05-25 08:31:57] |
| norvik - Posts: 22 |
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Take a look: http://www.nanex.net/ |
| [2014-05-25 12:12:16] |
| crazybears - Posts: 314 |
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http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.html wold be great if SC realtime datafeed offers it |
| [2014-05-26 15:24:11] |
| User57180 - Posts: 8 |
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I am aware of the nanex offerings. If fact, that's the indicator I am trying to build but would need access to a function that connects to to the Bid/Ask data beyond what is trading at the inside market (would need levels 2-10). Can anyone at Sierra confirm if this is available? I don't see it anywhere in the doc's. Ninja does offer this but I am not a fan of Ninja :-)
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| [2014-05-28 19:23:45] |
| User57180 - Posts: 8 |
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Can anyone from SierraChart answer this? Just to recap, here was the question again: Is there any way to access Market Depth at levels 2-10 programmatically? I know this is possible for the Inside Bid and Ask but can this data be gotten too for any of the other levels: -Either with an Indicator -Or a Function from a Custom Study. -Or can I get it into a Spreadsheet Study? |
| [2014-05-29 17:44:02] |
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This is not supported in Sierra Chart. You could capture this as it occurs in real time by accessing the market depth data through the Symbol Data structure in ACSIL: http://www.sierrachart.com/index.php?l=doc/doc_ACSIL_Members_Variables_And_Arrays.html#scSymbolData 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 Date Time Of Last Edit: 2014-05-29 17:45:11
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