Support Board
Date/Time: Sat, 29 Nov 2025 11:50:13 +0000
[Programming Help] - Accessing `NumOrders` During Market Depth Replay from Historical Data
View Count: 672
| [2025-04-19 17:45:59] |
| Thanthou - Posts: 10 |
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Hello Sierra Chart Team, I’ve been working with the historical `.depth` files available through your data services, and I’ve noticed that these files clearly include the number of orders (`NumOrders`) along with quantity and price at each depth level. I’ve confirmed this by unpacking the binary structure directly (e.g., via Python using `struct.unpack('qbbhfII', ...)`). However, during a chart replay using `sc.GetAskMarketDepthEntryAtLevel()` and `sc.GetBidMarketDepthEntryAtLevel()`, the `NumOrders` field is always reported as zero — even though quantity and price are populated correctly. Could you clarify: 1. Is this the expected behavior — i.e., `NumOrders` is not loaded during market depth replay even if it exists in the `.depth` file? 2. If so, is there any current or planned way to access the historical `NumOrders` during replay (perhaps via internal APIs or through an alternative study)? 3. If not currently supported, would it be feasible to request that `NumOrders` be surfaced during replay for more complete reconstruction of historical depth? Thank you for your time and your excellent platform. |
| [2025-04-22 07:57:38] |
| Sierra_Chart Engineering - Posts: 21588 |
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We are not sure about this. We need to look into this. Give us some time.
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 |
| [2025-05-12 02:18:57] |
| Thanthou - Posts: 10 |
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I have a feeling it may be the service package I am using (Currently 10) and need to upgrade to 11,12, or higher? Just looking to run replays with full depth of market (price, orders, quantity). Thank you. |
| [2025-05-12 22:07:17] |
| Sierra_Chart Engineering - Posts: 21588 |
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No this has no dependency on the Service Package. We need to check on what was determined regarding this.
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 |
| [2025-05-14 08:57:49] |
| Sierra_Chart Engineering - Posts: 21588 |
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Support for market depth NumOrders in ACSIL has been implemented in the latest release. Although this has not been tested. 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: 2025-05-14 08:58:00
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| [2025-11-21 22:48:56] |
| KylieV1618 - Posts: 73 |
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I have also wanted this feature for a while, and its great that its there now, thanks! :) However...its still not available on the c_ACSILDepthBars *p_DepthBars = sc.GetMarketDepthBars(); Imo it should also be available on this as well, since the data is clearly there....it needs to be reflected in this structure as well, so we could build out historical heatmaps based on NumOrders, if we wanted to Please let me know Thanks :) Date Time Of Last Edit: 2025-11-21 22:49:49
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