Support Board
Date/Time: Fri, 07 Feb 2025 06:51:57 +0000
Update Frequency of Replayed Market Depth Data
View Count: 512
| [2020-05-21 22:47:28] |
| j4ytr4der_ - Posts: 946 |
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From the documentation: Time stamping of market depth data is to the second. There is no millisecond time stamping used at this time. This means during a second, all of the market depth updates will occur at once and not be spread across a single second. So you may notice a burst of changes at once within a single second.
Can this be improved upon at some point? I would very much like to be able to replay market depth data and use it for mechanical trading practice, but having the data jump every 1 second makes this impossible. I thought I had read that you were working on millisecond updates for this, but maybe that was referring to something else. |
| [2020-05-21 23:13:29] |
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That information is out of date. We will update the documentation. The time stamping is to the millisecond for market depth data. But in order for the replays to work properly of market depth data the trades need to be timestamped to the millisecond as well and that is the next thing we are finishing with. 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: 2020-05-21 23:14:15
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| [2020-05-21 23:52:17] |
| j4ytr4der_ - Posts: 946 |
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Ahhh I see, ok that's great information. So to be clear, even though I am using the Denali feed, the information coming in from that feed that can be recorded/saved, is not millisecond timestamped currently? I'm very excited to hear this is coming... thank you! |
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