Support Board
Date/Time: Mon, 24 Feb 2025 21:47:23 +0000
[Programming Help] - Market by order data file structures
View Count: 592
| [2021-03-23 17:45:42] |
| Async - Posts: 24 |
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Hi, I am interested in activating the new package with MBO data, and hope to read MBO data programmingly from data files. Looking into this instruction https://www.sierrachart.com/index.php?page=doc/MarketDepthDataFileFormat.html, it seems it does not contain information about MBO data, such as a field for order id. (The fields: Flags, NumOrders may be related but I can't find an explanation for them). Can someone please clarify if it's possible to read historical MBO data from data files? Is there an updated document for its data file structures? Thank you! |
| [2021-03-24 14:38:13] |
| norvik_ - Posts: 106 |
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Hi, this is the data structure for aggregated book. MBO data not stored at this files.
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| [2021-03-24 16:29:34] |
| Async - Posts: 24 |
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Thanks! Do you know which file stores MBO data?
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| [2021-03-24 17:44:16] |
| norvik_ - Posts: 106 |
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I think nowhere. Fomely I have collected level3 from Rithmic, one session of emini was about 3Gb of disk space.
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