Support Board
Date/Time: Thu, 28 Nov 2024 10:58:13 +0000
Post From: Custom Study access to Historical Market Depth
| [2023-05-13 15:10:56] |
| User431178 - Posts: 544 |
|
Is it possible to get Market Depth data (specifically, pull/stack)
Not pull/stack data you would have to calculate it yourself.When running a replay, I am able to generate historical plots which leads me to believe there is a way to generate it programatically.
Because in replay the values are being generated as equivalent real time, there is not a built in way to generate pull/stack programatically.You can access the historical depth - ACSIL Interface Members - Historical Market Depth Data (c_ACSILDepthBars) or read the depth file directly yourself - Market Depth Data File Format You can read the intraday data file - sc.ReadIntradayFileRecordAtIndex() or read the data file yourself - Intraday Data File Format The information is available for anyone to find. |