Support Board
Date/Time: Wed, 27 Nov 2024 06:48:04 +0000
[User Discussion] - request for a demo feed with level 2/bid/ask/depth update information
View Count: 1390
| [2014-08-06 06:31:19] |
| ejtrader - Posts: 688 |
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SC Team - As you currently don't store bid/ask information as part of scid and during replay though T&S data can be extracted, it doesn't include true bid ask information. This is making it a bit difficult to build a tool and to fine-tune as It can't be replayed back (exactly in the same way - which includes - true level2, depth updated, bid/ask information). In case of Ninja - there are replay files - which pretty much includes everything for this purpose and can be used in replay mode. Probably this is the only thing that I miss in SC compared to Ninja and is making it a bit difficult to fine tune tools in SC that depend on depth updates/ level 2 information. Is it possible for you to provide - FULL replay information ( bid/ask / level 2 / depth updates ) for a single instrument and that too for one single day - that can be used with SC ( Symbol ES ). Potentially you can think of using DTC client/server for this I would imagine. Would you please review and consider this replay for a single day/single instrument that can be used to replay repeatedly as needed? Hope you consider this as a genuine request. Thanks Date Time Of Last Edit: 2014-08-06 06:35:45
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| [2014-08-06 07:42:41] |
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As you currently don't store bid/ask information as part of scid
Not sure why you say this. We would expect you would have seen the new feature which stores bid and ask data with every tick. Refer to:New Feature: Historical Bid and Ask Price Data 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 |
| [2014-08-06 13:13:55] |
| ejtrader - Posts: 688 |
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SC team - I am referring to BidSize / AskSize ( not type of trade ) which are not stored in scid. All I need is full market information for a single instrument and for a single day ( or even for an hour ) - that I can replay multiple times to fine-tune piece of code. Though it's not really a show stopper - in it's current state ( where I can't replay the full information ) is certainly not ideal. Appreciate if you can think of a way to replay - a single hour of data - for a single instrument - which should include BidSize/AskSize/Depth Updates records/Level 2 information. Thanks - T&S data during live http://screencast.com/t/DZrXYCywjUh ( notice all real numbers for BidSize & AskSize ) - Same data during replay http://screencast.com/t/g40wTqSO3RRJ ( notice all 1's for BidSize & AskSize ) - Also during replay - there are no Depth Update records ( Type -- SC_TS_BIDASKVALUES ) - Also during replay - level 2 information is not available Date Time Of Last Edit: 2014-08-06 13:47:38
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| [2014-08-06 16:41:39] |
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We can offer no help with this now.
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: 2014-08-06 16:41:58
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| [2014-08-06 17:00:20] |
| ejtrader - Posts: 688 |
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Certainly understandable - due to the complexity of this and I would find my way around it. However - being a developer yourself - imagine - lack of "repeatable" data (however small it is) and it's impact on building quality tools. - thought of building my own scid file(using live T&S data) - which can be used for this purpose(would have solved part of the issue) but you don't want to add the fields bidsize/asksize to scid file(whether you populate or not). So there is absolutely no way for me to replay WITH true bidsize/Asksize information. upcoming feature: Bid/Ask Price & AskSize/BidSize Data | Post: 37653 Thanks Date Time Of Last Edit: 2014-08-06 20:17:24
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