Support Board
Date/Time: Fri, 29 Nov 2024 03:52:28 +0000
Post From: imbalance messages at open / closing auctions in TotalView
| [2022-07-03 23:35:06] |
| uM8137 - Posts: 183 |
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Good stuff. I see in v2411 that SCSymbolData.h has struct s_ImbalanceData { SCDateTime DateTimeUTC; double MatchingQuantity = 0; double NonMatchingQuantity = 0; double CurrentReferencePrice = 0; uint8_t ImbalanceDirection = 0; uint8_t CrossType = 0; } m_ImbalanceData; Question: How does one recognize these messages in the stored disk format? Are they "SCID", "SCDD", or something else? Is there a constant value to distinguish the NOII messages? What values mean what in ImbalanceDirection and CrossType? Either Intraday Data File Format and/or Market Depth Data File Format would be nice to update to document this. edit: Is there a new DTC message type for NOII? Date Time Of Last Edit: 2022-07-04 00:44:49
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