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Date/Time: Mon, 16 Sep 2024 19:14:53 +0000

Post From: Accurate Depth Data Handling During Microsecond Price Changes

[2024-07-01 03:08:08] Link To Thread - Link To Post [Go To First Post]
AndyB - Posts: 101
SC team, After reviewing the .depth files, I would have to assume that the OHLC values for your bid & ask depth bars are an amalgamation of record entries that share the same time stamp. Obviously, different price levels will have the same time stamp. However, I have noticed more times than not, that a single price can have multiple entries at a single time stamp. Is it correct for me to assume that you are using the first, greatest, lowest, and last quantities observed in a sequence of records with the same timestamp and same price are the values used for OHLC? it would be great to be able to access the individual values at the same time stamp via ACSIL some how. I assume they are in order of occurance.