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[Programming Help] - Depth of market Study

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[2020-01-17 11:06:38] #1 [Go To First Post]
AndreyPoroshin - Posts: 102
An excellent study of the Depth of Market Data, but I would like the Sierra Сhart programmers to make corrections in order to have the opportunity to work programmatically with data? In particular, the algorithm does not output data in a table in replay mode. Record Date - Enabled in Settings Date Time Of Last Edit: 2020-01-17 11:11:15


dept of market screen.png / V - Attached On 2020-01-17 11:11:06 UTC - Size: 186.43 KB - 480 views

[2020-01-17 12:47:01] #2 [Go To First Post]
Ackin - Posts: 1865
try: You need to enable Trade >> Trading Chart DOM On. Also you need to have the pulling and stacking column added to the Chart DOM. Otherwise, the data is not being maintained. Date Time Of Last Edit: 2020-01-17 12:52:24

[2020-01-20 05:28:44] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Make sure you can see the pulling and stacking market depth data on the chart and have added those columns: Trade Menu: Show Market Data Columns (Trade menu) 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

[2020-01-21 16:55:55] #4 [Go To First Post]
Chad - Posts: 231
If the pulling/stacking fields are enabled in a Trading Chart DOM, and the recording of market depth is enabled per the symbol's settings, will the pull/stack values be written to the .depth file as well?

[2020-01-23 22:11:22] #5 [Go To First Post]
Sierra_Chart Engineering - Posts: 14052
No. 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2020-01-23 22:15:30] #6 [Go To First Post]
Chad - Posts: 231
Okay, so to log real-time pull/stack data, is it possible to access them programmatically?

[2020-01-24 02:20:15] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes with ACSIL. 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

[2020-01-24 11:54:39] #8 [Go To First Post]
AndreyPoroshin - Posts: 102
Gentlemen, please help me deal with the following: 1 I write Depth of Market files to my computer so that I can do research later. But there is a problem. Let me give you an example: Depth was recorded on 01-23-2020, respectively, using the desired mark in the global settings of the instrument. Auto trading was also included and auto trading was carried out. I got a certain result. Then the next day I decided to replay auto trading on replaying the Replay Chart of the same day 01-23-2020. I tried to use any settings for accurate testing, but the result is fundamentally different from the real one that I saved from that day. I will give screenshots from both situations. Real and test of the same day. The testing speed of the Replay Chart was x15 in all three variants of accurate testing. Does this mean that there is a discrepancy in the test results, that the Depth files stored on the computer do not have time to be unpacked by the program in a timely manner and as a result are “spit out” in blocks, which creates incorrect triggers? How to cope with this for the relatively sane results of matching reality? 2. I want to research Depth files on spreadsheets, since I work with them. But information about the depth of the market is displayed only in the first 10 cells, not at all like for other table functions. That is, I want to see the entire long tape of numbers for a specific time, because this is likely if you set the chart setting not by a bar, but by 1 Tick. What can be done with this in order to see the tape of the entire depth of the market for the period specified in the spreadsheet? If this is not provided, then are there other ways to research? For example, is this possible in ASCIL or C ++? 3. I have no doubt that there are people who smoothly write the Depth file to many tools for a long time. Does the support have any information on this subject? Is it possible to contact such people and ask them for the necessary data? Date Time Of Last Edit: 2020-01-24 11:58:18


real time trade sim.png / V - Attached On 2020-01-24 11:54:07 UTC - Size: 38.97 KB - 383 views replay.png / V - Attached On 2020-01-24 11:54:13 UTC - Size: 28.44 KB - 369 views

[2020-01-30 21:33:05] #9 [Go To First Post]
Chad - Posts: 231
Hi SCE, Is it possible to access historical DOM data (i.e. .depth files saved locally) via DTC, or is DTC live only? I want to work with it in Python as well as C++, so if DTC only has live DOM data, would use of Google Protocol Buffers outside of DTC be appropriate? Lastly, will I need to rebuild the order book event-wise using a separate package, e.g. CppTrader? Date Time Of Last Edit: 2020-01-30 22:53:34

[2020-02-03 18:01:02] #10 [Go To First Post]
Sierra_Chart Engineering - Posts: 14052
Regarding post #8, the support you are requesting requires an additional payment and your account through your broker has no entitlement for the support requested. You must have a paid Sierra Chart account, and pay additional for the help that you need. Regarding post #9, 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2020-02-03 23:03:19] #11 [Go To First Post]
Chad - Posts: 231
Thank you for the link; I'd saved it in my references from an earlier variant of inquiry about DOM data. Are you pointing to this w.r.t. rebuilding the book, access to historical DOM via DTC, or both?

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