Support Board
Date/Time: Fri, 29 Nov 2024 18:25:09 +0000
Post From: Your Market Depth Studies have a MAJOR flaw!
| [2023-01-18 03:14:23] |
| Sierra_Chart Engineering - Posts: 17233 |
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1. Yes they are in sequence. 2. We can only say to make sure there is no missing data by re-download the data: Market Depth Historical Graph: Downloading Of Historical Market Depth Data It appears to have only touched the depth files for 1-18 and 1-17, despite files from 1-6 through 1-18 existing. Check this setting:Sierra Chart Server Settings: Maximum Historical Market Depth Days to Download (Global Settings >> Sierra Chart Server Settings >> General >> General) What actually is recorded is the market depth data stream to Sierra Chart in real time. And periodically there is also a snapshot recorded. Like every 10 or 15 minutes. That snapshot is not sent to Sierra Chart. Maybe you are seeing slightly out of order timestamps related to the snapshot. We would have to check on that. But just ignore the timestamps with the snapshot data. Several had negative durations: We do not see this at all. Those numbers you list are in ascending order. And how do you get a fractional number from an integer?We checked this file across all three servers that provide this data and they have the exact data on all three: CLG23_FUT_CME.2023-01-11.depth Yes: And one related question. In order to maintain the correct order book state, is it enough to parse the depth records alone?
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-01-18 03:16:41
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