Support Board
Date/Time: Sat, 23 Nov 2024 22:54:11 +0000
Post From: sc.MaintainHistoricalMarketDepthData
| [2024-07-22 20:27:24] |
| AndyB - Posts: 101 |
|
SC team, According to the documentation, enabling sc.MaintainHistoricalMarketDepthData records both historical and real-time data to the .depth files. Could you provide an example of how the data might look different with and without the use of sc.MaintainHistoricalMarketDepthData? Will the real-time data recorded in the depth files follow the same format as described in the market depth data file format documentation? Does this setting bypass the update interval? How frequently is the real-time data written to the files? For CME exchange instruments, I understand that the most granular depth updates occur at 1ms intervals, which is the case with the historical depth data found in the .depth files without sc.MaintainHistoricalMarketDepthData. I have read through the documentation and searched the support board thoroughly, but I still need some clarification on these points. Thank you. thank you for any help you can provide. |