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sc.MaintainHistoricalMarketDepthData

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[2024-07-22 20:27:24] #1 [Go To First Post]
AndyB - Posts: 101
SC team, According to the documentation, enabling sc.MaintainHistoricalMarketDepthData records both historical and real-time data to the .depth files. Could you provide an example of how the data might look different with and without the use of sc.MaintainHistoricalMarketDepthData? Will the real-time data recorded in the depth files follow the same format as described in the market depth data file format documentation? Does this setting bypass the update interval? How frequently is the real-time data written to the files? For CME exchange instruments, I understand that the most granular depth updates occur at 1ms intervals, which is the case with the historical depth data found in the .depth files without sc.MaintainHistoricalMarketDepthData. I have read through the documentation and searched the support board thoroughly, but I still need some clarification on these points. Thank you. thank you for any help you can provide.

[2024-07-23 03:03:51] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
The questions you have in relation to that variable, are not valid. There just simply is no difference at all in the data recorded to the market depth files whether using that or not. The purpose of that variable is to ensure data market depth data will be recorded to the market depth file for the symbol. No this is not true and never has been: I understand that the most granular depth updates occur at 1ms intervals, which is the case with the historical depth data found in the .depth files without sc.MaintainHistoricalMarketDepthData. All depth updates from the exchange are recorded. There is no association with time and never has been. Depth updates are time stamped to the millisecond, but there is still no association to time other than the time stamp. There is a certain structured way, depth updates are processed from the exchange. And effectively all market depth updates are recorded. 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 Date Time Of Last Edit: 2024-07-23 03:04:54

[2024-07-23 15:02:33] #3 [Go To First Post]
AndyB - Posts: 101
that's good to know. thank you for the response. does this explain why there are several entries for a single price at the same time stamp for certain records in the .depth files? if so, and i wanted to visualize these (lets say im using bid ask trade sync that 1t chart is incrementing changes in depth and bid/ask prices using the microsecond counter), would i want to plot these in subsequent bars from the index that contains the .depth entries, or in previous bars that don't have associated .depth entries for that timestamp and price? apologies if I'm not articulating this well. getting all of this data to line up has been a task and a half, since bid ask trade sync does not support recording some of the data it's using to create bars (real time bid/ask qty changes) i also understand this is nuanced and not relevant to 99% of users here. as someone relatively new to acsil coding, i'm doing my best to interpret the documentation correctly.

[2024-07-29 22:08:23] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
Yes the certainly can be expected: does this explain why there are several entries for a single price at the same time stamp for certain records in the .depth files? Does not sound unusual to us. This data would need to be matched up to the chart bar that contains the timestamp. So it would be a chart bar that has a timestamp at or before the timestamps of the market depth 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-07-29 22:08:43

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