Support Board
Date/Time: Sun, 24 Nov 2024 09:08:48 +0000
Post From: Backtest results are radically different from live trading results
| [2022-03-20 13:37:30] |
| 1+1=10 - Posts: 270 |
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Hi Luigi, In the s_TimeAndSales structure which are the elements of the s_TimeAndSalesArray returned by https://www.sierrachart.com/index.php?page=doc/ACSIL_Members_Functions.html#scGetTimeAndSales, there is a DateTime field. The s_TimeAndSales member are below: struct s_TimeAndSales { SCDateTimeMS DateTime;// UTC float Price; uint32_t Volume; float Bid; float Ask; uint32_t BidSize; uint32_t AskSize; //This will always be a value >= 1. It is unlikely to wrap around, but it could. It will never be 0. uint32_t Sequence; int16_t UnbundledTradeIndicator; int16_t Type; uint32_t TotalBidDepth; uint32_t TotalAskDepth; ... // Various methods } Perhaps SC stamps the records with the time their Denali data feed server receives each market data update, rather than the time the market data update arrives at your computer? If it is the former then you could just compare the current time in your study against each update's time stamp to measure the delay. I'd recommend starting a new thread to ask SC Engineering whether the Denali time and sales records are timestamped on the Denali server or when they reach the SC platform. |