DTC Protocol Discussion Forum

Date/Time: Fri, 29 Nov 2024 14:33:08 +0000

Post From: DTS::s_HistoricalPriceDataRecordResponse for special case question

[2020-10-30 00:35:39] Link To Thread - Link To Post [Go To First Post]
norvik_ - Posts: 106
Hi, DTC team. According to Intraday Data File Format we have an ability to keep bid, ask, and last for each trade prices and use it as base data at sierra ASCIL studies. It is OK in case when sierra created a scid file itself. Is there any kind of method to transfer such type of historical tick data to sc using custom DTC server? DTS::s_HistoricalPriceDataTickRecordResponse structure contains only one 4-bytes field for last price.. For example, after receiving HISTORICAL_PRICE_DATA_REQUEST,with RecordInterval member equal to INTERVAL_TICK constant, server can send back to client s_HistoricalPriceDataRecordResponse for each tick, with unbundled_indicator,ask price,bid price,last price written to OpenPrice,HighPrice,LowPrice,LastPrice members of s_HistoricalPriceDataRecordResponse structure. NumTrades will be set to 1 at this case. Can you add such option to built-in SC DTC client? Maybe Flag_1 in s_HistoricalPriceDataRequest can be used?? Also, would you be so kind to explain, if I'd like to write tick data directly to scid, in case of sequence of unbundled trades, to which constant should be equal OpenPrice of records BETWEEN FIRST_SUB_TRADE_OF_UNBUNDLED_TRADE and LAST_SUB_TRADE_OF_UNBUNDLED_TRADE? If not set, it will be == 0.0F...(SINGLE_TRADE_WITH_BID_ASK, created by s_IntradayRecord()// Constructor) Thanks