Support Board
Date/Time: Fri, 24 Jan 2025 07:38:22 +0000
Any suggestions on obtaining long term historical times and sales data with bid/ask sizes
View Count: 701
| [2019-01-09 04:13:30] |
| Andy Sureway - Posts: 93 |
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Hi Sierra team, I am interested in obtaining long term historical times and sales data with bid/ask sizes, the one with each tick data plus each change of the sizes of the best bid and ask. I have been reading about the sc.GetTimeAndSales() sc.GetTimeAndSales() According to the description, currently SC does not provide historical data of it. Although SC can automatically record L2 data, but it seems that currently there is not direct way to access each record of it. Can I confirm that the only possibility left at the moment, is to write a study and it keeps outputting the incoming received data into a hard disk file. Is SC team doing something similar to this? If so, could you please make some of the functionalities public? Thanks a lot! |
| [2019-01-10 18:53:21] |
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but it seems that currently there is not direct way to access each record of it. You can write a function to read the historical market depth data. Refer to:Market Depth Data File Format Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-01-10 18:53:38
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| [2019-01-10 19:37:28] |
| Andy Sureway - Posts: 93 |
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Thanks a lot! That would be a more direct solution!
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