Support Board

Date/Time: Fri, 07 Feb 2025 07:40:01 +0000

Market Depth Data

[2020-05-24 16:15:32] #1 [Go To First Post]
User255315 - Posts: 133
Hi SC, I have recently begun experimenting with the limit order book data (market depth) and have a few questions about this: 1. To use any studies that use the market depth data, the documentation says that those files need to be saved by recording the depth for a particular symbol, in which case only can we backtest historical market depth data. Could we have atleast some historical data say the latest 3-4 months since Sierra started supporting DELAYED MARKET DEPTH STREAMING? Is there any other way besides recording the depth data and then replaying the recorder period to backtest? 2. Assuming (1) is not possible, can we have some member variables calculated/saved during the occurrence of the trades, (for example the sum ask side and sum bid side, every time a trade occurs), so as to include some basic calculations of the order book, accessible via some existing ACSIL structure? 3. Is there any quick way/study that can check if (recorded) historical market depth data exists for a particular period of time? Is there any other source of historical market depth data that might be compatible with sierra interface or could be imported?

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