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Date/Time: Thu, 21 Nov 2024 12:51:29 +0000



Post From: Market depth calculation logic.

[2024-11-19 18:12:37]
beanthehacker - Posts: 31
I wanted to understand how SC calculates and displays the pulling/stacking info. For simplicity let's assume bid/ask price levels that are far from current prices.

Specifically, I want to understand when you take a bid/ask price level and initialize with the amount of contracts on that level in the order book at a timestamp, this timestamp could be since the market open or could be since SC connected to data feed, correct? And then you keep a running count based on orders that are pulled or stacked using: current quantity - initial quantity. What I want to know is if the initial quantity is reset every few seconds or in a rolling-window sort of manner (current - t seconds)?