Support Board
Date/Time: Fri, 24 Jan 2025 11:18:51 +0000
Post From: Any suggestions on obtaining long term historical times and sales data with bid/ask sizes
| [2019-01-09 04:13:30] |
| Andy Sureway - Posts: 93 |
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Hi Sierra team, I am interested in obtaining long term historical times and sales data with bid/ask sizes, the one with each tick data plus each change of the sizes of the best bid and ask. I have been reading about the sc.GetTimeAndSales() sc.GetTimeAndSales() According to the description, currently SC does not provide historical data of it. Although SC can automatically record L2 data, but it seems that currently there is not direct way to access each record of it. Can I confirm that the only possibility left at the moment, is to write a study and it keeps outputting the incoming received data into a hard disk file. Is SC team doing something similar to this? If so, could you please make some of the functionalities public? Thanks a lot! |