Support Board
Date/Time: Sun, 24 Nov 2024 11:18:38 +0000
Post From: DataBento to .depth and .scid
| [2024-06-13 14:18:45] |
| skalaydzhiyski - Posts: 58 |
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Hi guys, Is it possible (in theory) to convert databento data dump (depth + tick data) for a given date say (1 March 2020) into a corresponding .depth and .scid files for a ticker for this date so that I can get market replay through sierra for dates far back in history. The databento dump is in csv format. If I can encode the data into .depth and .scid binary files will this mean Sierra will be able to read from them as if it was a normal day? As in are there any restrictions that prevent sierra from doing DOM replay for dates that are further back in history ? All the best, Spas |