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Date/Time: Thu, 28 Nov 2024 10:45:27 +0000

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Post From: Custom Study access to Historical Market Depth

[2023-04-28 16:04:20]
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sola5180 - Posts: 13
Hi,

Is it possible to get Market Depth data (specifically, pull/stack) not just by price (on the latest bar) but on past bars?

I am developing a simple Custom Study that plots the Pull/Stack imbalance as a zero-referenced difference.

However, I'm never able to see any data prior to current activity.

When running a replay, I am able to generate historical plots which leads me to believe there is a way to generate it programatically.

Current code:

double sumB;
  double sumA;
  double avg;
    
sumA = sc.GetAskMarketDepthStackPullSum();
sumB = sc.GetBidMarketDepthStackPullSum();
  avg = (sumA + sumB) / 2;
  sumA = sumA - avg;
  sumB = sumB - avg;
  
  int start = sc.Index;

  
  Bid.Data[start] = sumB ;
  Ask.Data[start] = sumA ;
  BidL.Data[start] = sumB ;
  AskL.Data[start] = sumA ;



Thanks
Date Time Of Last Edit: 2023-04-28 16:05:28