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Direct MessagesDate/Time: Sat, 18 May 2024 17:03:41 +0000
Post From: ACSIL - Market Depth access questions
| [2019-10-25 10:58:05] |
| User624750 - Posts: 27 |
|
1. Is it possible to use Market Depth Historical Graph study on chart with BID_ASK_TRADE_SYNC Data Recording Modes? (I add this study to chart but no any data appears) 2. Is it possible to use Market Depth Historical Graph study on chart with NumberOfTradesPerBar = 1? (When I do it, there are many missed data. Screenshot attached.) 3. Time & Sales windows's screenshot attached. There are 33 trades (total volume 50) which not interrupted by BidAsk Records! these trades are executed at three prices: 55.92 (vol 15), 55.91 (vol 33), 55.90 (vol 2). I can see Bid Aks Record right before this trades with best bid price and bid size! How can I get access to 10 levels of Market Depth through ACSIL(not only best bid ask) right before this trades? I need to know 10 levels of Market depth before this trades to detect Iceberg Orders. In this example bid ask records before trades show me bid price = 55.92 and bid size = 15. Total volume of executed trades at 55.92 equal 15, it means that no any iceberg orders at 55.92. But I can't make the same calculations at 55.91 and 55.90 because i dont know bid size at that prices right before trades execution. 4. I have studied ACSIL Interface Members - Historical Market Depth Data (c_ACSILDepthBars) and found there - "It is also supported to access the most recent market depth data through the sc.SymbolData ACSIL member. This is an alternative to access the current market depth data. You will also need to access the current market depth data through this ACSIL member whenever market depth data changes after a chart bar has completed but before there is a new trade for the next bar which has not yet been displayed because there has not yet been a trade for that new upcoming bar." But can't find detailed information how to use it in practice. Help me with this please. Thanks in advance PS I dont need any programm help! Just info and some idea! |
 MDHG on 1 trade period chart.png / V - Attached On 2019-10-25 10:52:13 UTC - Size: 56.12 KB - 422 views TimeAndSales.png / V - Attached On 2019-10-25 10:52:25 UTC - Size: 100.76 KB - 386 views |