Support Board
Date/Time: Thu, 13 Feb 2025 03:44:03 +0000
Market Depth Data File Structure
View Count: 936
| [2020-11-22 20:50:59] |
| rinofarina - Posts: 8 |
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Hi! I'm attempting to read historical depth files from Data\MarketDepthData\*.depth using the structures described here: Market Depth Data File Format While de-serializing the data appears not to be a problem, the data in s_Record.DateTime does not seem to return a correct value. I've tried creating instances SCDateTime and SCDateTimeMS from that double value, but I can't seem to get a meaningful value (one that I can match to a chart bar open/close SCDateTime). My question is how to correctly interpret the value in s_Record.DateTime. Thanks! |
| [2020-11-22 22:49:15] |
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Review the bottom of this page: Market Depth Data File Format We have added a section providing further details. When reading it, you will want to use this function to set it into a SCDateTimeMS: SCDateTimeMS::SetInternalDateTime
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: 2020-11-22 22:50:48
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| [2020-11-23 10:27:09] |
| rinofarina - Posts: 8 |
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Thank you for your prompt reply. I'm getting a reasonable SCDateTimeMS value now. It seems the records in these files are out of order, WRT DateTime value. Is that expected? |
| [2020-11-23 18:47:22] |
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No that is not expected. It may relate to the data feed you are using which is IQ Feed. Make sure your computers clock is also set correctly because there can be certain records written which do use the local computer clock related to connections and disconnections to and from the data feed. Refer to help topic 38: Incorrect Date and/or Time Display, Missing Historical Intraday Data, Chart Not Updating 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 |
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