Support Board
Date/Time: Thu, 28 Nov 2024 10:58:37 +0000
Post From: Custom Study access to Historical Market Depth
| [2023-05-13 18:12:05] |
| sola5180 - Posts: 13 |
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By the way, I have read through Global Trade Settings Windows: Bid Market Depth Pulling/Stacking - Left/Center/Right Aligned summary. It seems like the GetAskMarketDepthStackPullSum() also takes into consideration the volume traded at the bid and ask for the duration of the bid and ask not changing. That doesn't seem like something that the c_ACSILDepthBars handles, especially given that the best bid and offer may change and probably will not stay stable throughout the entire bar. So - I would have to look at the tick level data to see when, for the current bar close, was the last transition to the closing bid and offer, and calculate the bid & ask volume from that point on, in order to get a similar calcucation as to GetAskMarketDepthStackPullSum() I'm also not sure how to differentiate between limit orders being pulled vs. executed via the market order using this API. It seems likely to 'double count' pulling if one were to look at them independently. Especially if you were to look at the 'max' and 'last' and calculate the difference as the pulling or stacking. This would be much easier if the API offered a function like GetHistoricalAskMarketDepthStackPullSum() for populating past chart bars. I dont think this is very trivial, but this functionality is important and accurately graphing this is very valuable. Date Time Of Last Edit: 2023-05-13 18:12:50
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