Support Board
Date/Time: Thu, 21 Nov 2024 09:31:15 +0000
Market depth calculation logic.
View Count: 81
| [2024-11-19 18:12:37] |
| beanthehacker - Posts: 31 |
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I wanted to understand how SC calculates and displays the pulling/stacking info. For simplicity let's assume bid/ask price levels that are far from current prices. Specifically, I want to understand when you take a bid/ask price level and initialize with the amount of contracts on that level in the order book at a timestamp, this timestamp could be since the market open or could be since SC connected to data feed, correct? And then you keep a running count based on orders that are pulled or stacked using: current quantity - initial quantity. What I want to know is if the initial quantity is reset every few seconds or in a rolling-window sort of manner (current - t seconds)? |
| [2024-11-20 04:34:10] |
| Sierra_Chart Engineering - Posts: 17133 |
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No, this does not happen: What I want to know is if the initial quantity is reset every few seconds or in a rolling-window sort of manner (current - t seconds)?
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 |
| [2024-11-20 23:08:50] |
| beanthehacker - Posts: 31 |
|
Thank you. Can you explain the calculation logic? I am trying to read the .depth file for some stats and the numbers don't match with the replays. 1) Does the price level's running count ever get reset (other than when it is traded through of course)? 2) While regenerating the p/s using .depth file, should I skip the snapshot part that's emitted every 10mins? Help would be greatly appreciated, thanks. |
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