Support Board
Date/Time: Sun, 19 Jan 2025 12:37:58 +0000
Post From: Recording Market Depth Data with Sierra Chart Real-Time Feed
| [2018-04-03 22:43:50] |
| ticinotrader - Posts: 397 |
|
I'm using Sierra Chart Real-Time feed and executing trades with Interactive Brokers. When using this setup, I collect Market Depth data during the day (set at Symbol settings). The MarketDepth folder contains the saved depth files named using the IB symbol format. When I compare the created depth files of an entire session of the same instrument there is a significant size difference between what is recorded by this IB/SC instance vs what I recorded from CQG feed. The CQG files are more than twice as large. Can you please advise/confirm that I do depth recording the right way? When using a recorded IB/SC datafile for replay, it seems correct, but I want to be sure that I record the depth data from the SC Real-Time data source and not from IB. Thank you. |