Support Board
Date/Time: Tue, 22 Apr 2025 11:18:06 +0000
Post From: Request: Access to ACSIL Market Depth Delete Commands and immediate access to buffers.
| [2024-12-22 19:49:55] |
| AndyB - Posts: 105 |
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Hi, I have been working on parsing depth files to recreate the depth of market with sub-batch price updates and depth updates fully synchronized. I output these into my own market depth files and matched trades via .scid files for use in Sierra Chart, employing the Historical Market Depth study to read them. Issue with "Extend Last Known Depth" When using the "Extend Last Known Depth" option, I noticed that the depth rectangles extend through the spread when observing granular bid/ask price movements and trades. This behavior doesn't align with realistic depth scenarios. Could you update the logic for this study so that depth rectangles finalize when a delete command is encountered? Depth Visualization and Zero Depth Detection I’ve created a custom depth visualization and found ACSIL Depth Bars to be the most efficient for performance. However, I cannot access a flag for deleted price levels, which makes it challenging to identify when a price level’s depth has been reduced to zero (excluding the spread, as depth cannot exist there in futures). This means I need to go read the file manually, find the associated timestamp, and check to see if there's a delete command. This is essential data in highly volatile scenarios. -Using GetNextHigherPriceTickIndex only outputs price tick indexes with updates (assuming add/modify command records). -DepthDataExistsAt only checks if any depth data exists at a bar index, not whether a price level’s depth is zero. Would it be possible to add functionality for detecting when a price level’s depth has been reduced to zero? Additional Requests -File Positioning Functionality: Could you introduce a DateTimeToFilePosition function that returns the byte offset in depth or .scid files, allowing quick access to specific file locations, if the proposed request cannot be implemented? -Real-Time File Buffer Access (arguably the most important thing for me): I modify depth and .scid files locally and output them back to Sierra Chart. However, the buffer flush rate (minimum 500ms as per documentation) is too slow for algorithmic signaling. Could you enable real-time access to file buffers to reduce latency? Thank you for your assistance. Let me know if you need any further clarification! Best regards |