Support Board
Date/Time: Sat, 23 Nov 2024 23:08:12 +0000
Post From: sc.MaintainHistoricalMarketDepthData
| [2024-07-23 15:02:33] |
| AndyB - Posts: 101 |
|
that's good to know. thank you for the response. does this explain why there are several entries for a single price at the same time stamp for certain records in the .depth files? if so, and i wanted to visualize these (lets say im using bid ask trade sync that 1t chart is incrementing changes in depth and bid/ask prices using the microsecond counter), would i want to plot these in subsequent bars from the index that contains the .depth entries, or in previous bars that don't have associated .depth entries for that timestamp and price? apologies if I'm not articulating this well. getting all of this data to line up has been a task and a half, since bid ask trade sync does not support recording some of the data it's using to create bars (real time bid/ask qty changes) i also understand this is nuanced and not relevant to 99% of users here. as someone relatively new to acsil coding, i'm doing my best to interpret the documentation correctly. |