Support Board
Date/Time: Wed, 30 Apr 2025 07:36:36 +0000
[Programming Help] - Accessing `NumOrders` During Market Depth Replay from Historical Data
View Count: 87
| [2025-04-19 17:45:59] |
| Thanthou - Posts: 6 |
|
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: 19383 |
|
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 |
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