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Post From: MarketDepth Data updates in ACSIL in Replay simulation does not match bid/ask

[2024-07-14 16:47:36] Link To Thread - Link To Post [Go To First Post]
User557306 - Posts: 1
I am evaluating using MKT DepthData in AutoTrade Replay backtest, in ACSIL code: - Evaluation account, running for MESU24-CME - Chart has 1min bars - Re-downloaded market depth data - Using replay-based simulation with time increment of 1sec, speed 1920x - Intraday Data Storage Time unit is 1 tick I see bid and ask changing, but the market depth data updates at a much reduced rate, in fact I see the number of levels and the values of level at each depth only changing every 10 minutes (see below, where I print out how many levels have changing data). Is it possible to run a historical replay with the MDP data changing with each call to ACSIL ? Is this just an issue with evaluation trial? Apologize if it was answered elsewhere but could not track it down. Example: I see the bid and ask change within each call and index as expected, but none of the MktDepth entries changes value, e.g each line here is a call to my ACSIL function where I find the MarketDepth bid data and check if it changed sc.GetCurrentDateTime: 2024-07-12 18:00:55.597000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 105 sc.GetCurrentDateTime: 2024-07-12 18:00:57.302000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 118 sc.GetCurrentDateTime: 2024-07-12 18:00:57.476000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 132 sc.GetCurrentDateTime: 2024-07-12 18:00:57.972000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 132 sc.GetCurrentDateTime: 2024-07-12 18:00:58.861000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.5 sc.bidsize: 53 sc.GetCurrentDateTime: 2024-07-12 18:00:59.620000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.5 sc.bidsize: 112 sc.GetCurrentDateTime: 2024-07-12 18:00:59.711000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 42 sc.GetCurrentDateTime: 2024-07-12 18:01:00.035000 sc.Index: 10411 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 90 sc.GetCurrentDateTime: 2024-07-12 18:01:00.194000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 119 sc.GetCurrentDateTime: 2024-07-12 18:01:00.250000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5701.75 sc.bidsize: 143 sc.GetCurrentDateTime: 2024-07-12 18:01:01.358000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 173 sc.GetCurrentDateTime: 2024-07-12 18:01:01.528000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 78 sc.GetCurrentDateTime: 2024-07-12 18:01:02.194000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 121 sc.GetCurrentDateTime: 2024-07-12 18:01:02.917000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702.25 sc.bidsize: 130 sc.GetCurrentDateTime: 2024-07-12 18:01:03.096000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702.25 sc.bidsize: 111 sc.GetCurrentDateTime: 2024-07-12 18:01:03.240000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702.25 sc.bidsize: 114 sc.GetCurrentDateTime: 2024-07-12 18:01:03.574000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702.25 sc.bidsize: 116 sc.GetCurrentDateTime: 2024-07-12 18:01:04.151000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 201 sc.GetCurrentDateTime: 2024-07-12 18:01:04.194000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 207 sc.GetCurrentDateTime: 2024-07-12 18:01:04.220000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702 sc.bidsize: 209 sc.GetCurrentDateTime: 2024-07-12 18:01:04.348000 sc.Index: 10412 noBidLevels: 1141 noMktDepthChanges: 0 sc.bid: 5702.25 sc.bidsize: 209 ... Here are the time stamps where the market depth data actually changes, grepped out. Note, this seems to only change every 10 minutes. sc.GetCurrentDateTime:00:00:00.000000 sc.Index:0 noBidLevels:1 noMktDepthChanges:1 sc.Bid:5637.25 sc.BidSize:1 sc.GetCurrentDateTime:2024-07-12 00:30:47.106001 sc.Index:9361 noBidLevels:946 noMktDepthChanges:946 sc.Bid:5643.5 sc.BidSize:26 sc.GetCurrentDateTime:2024-07-12 00:40:40.012001 sc.Index:9371 noBidLevels:945 noMktDepthChanges:58 sc.Bid:5642.5 sc.BidSize:39 sc.GetCurrentDateTime:2024-07-12 00:50:34.385000 sc.Index:9381 noBidLevels:939 noMktDepthChanges:75 sc.Bid:5640.75 sc.BidSize:33 sc.GetCurrentDateTime:2024-07-12 01:00:44.158000 sc.Index:9391 noBidLevels:938 noMktDepthChanges:83 sc.Bid:5640 sc.BidSize:36 sc.GetCurrentDateTime:2024-07-12 01:10:37.999000 sc.Index:9401 noBidLevels:941 noMktDepthChanges:55 sc.Bid:5640.5 sc.BidSize:35 sc.GetCurrentDateTime:2024-07-12 01:20:40.540005 sc.Index:9411 noBidLevels:941 noMktDepthChanges:48 sc.Bid:5641 sc.BidSize:5 sc.GetCurrentDateTime:2024-07-12 01:30:38.395000 sc.Index:9421 noBidLevels:936 noMktDepthChanges:38 sc.Bid:5641.25 sc.BidSize:53 sc.GetCurrentDateTime:2024-07-12 01:40:34.090000 sc.Index:9431 noBidLevels:930 noMktDepthChanges:79 sc.Bid:5638.75 sc.BidSize:16 sc.GetCurrentDateTime:2024-07-12 01:50:34.841001 sc.Index:9441 noBidLevels:934 noMktDepthChanges:57 sc.Bid:5639.25 sc.BidSize:26 sc.GetCurrentDateTime:2024-07-12 02:00:38.872008 sc.Index:9451 noBidLevels:931 noMktDepthChanges:44 sc.Bid:5639.75 sc.BidSize:36 sc.GetCurrentDateTime:2024-07-12 02:10:37.497000 sc.Index:9461 noBidLevels:929 noMktDepthChanges:54 sc.Bid:5639 sc.BidSize:63 sc.GetCurrentDateTime:2024-07-12 02:20:28.646005 sc.Index:9471 noBidLevels:930 noMktDepthChanges:72 sc.Bid:5638.25 sc.BidSize:42 sc.GetCurrentDateTime:2024-07-12 02:30:23.542000 sc.Index:9481 noBidLevels:932 noMktDepthChanges:81 sc.Bid:5640 sc.BidSize:20 sc.GetCurrentDateTime:2024-07-12 02:40:30.447002 sc.Index:9491 noBidLevels:932 noMktDepthChanges:41 sc.Bid:5640 sc.BidSize:52 sc.GetCurrentDateTime:2024-07-12 02:50:25.803000 sc.Index:9501 noBidLevels:933 noMktDepthChanges:90 sc.Bid:5640.5 sc.BidSize:3 Message Log: 2024-07-14 15:59:35.816 \| Replay 1920X: MESU24-CME[M] 1 Min #2 \| Reloading chart. 2024-07-14 15:59:36.146 \| Loading market depth data. 2024-07-14 15:59:36.726 \| Loaded depth data records for MESU24-CME 2024-07-11 from 2024-07-11 15:30:00.000000 to 2024-07-11 23:59:59.861000. 2024-07-14 15:59:36.727 \| Loaded depth data records for MESU24-CME 2024-07-12 from 00:00:00.000000 to 00:00:00.000000. 2024-07-14 15:59:36.741 \| Replay 1920X: MESU24-CME[M] 1 Min #2 \| Chart data loading complete. 2024-07-14 16:01:07.622 \| Replay 1920X: MESU24-CME[M] 1 Min #2 \| Back test processing: NumberOfTimesCalculateCalled (Cumulative) = 60262 2024-07-14 16:27:14.736 \| MESU24-CME[M] 1 Min #2 \| StartDateTimeForLoadingOrderFills: 00:00:00 \| Number times message added: 1 2024-07-14 16:32:51.723 \| Requested new login tokens. 2024-07-14 16:32:52.059 \| Received 8 login tokens.