DepthBars issue / Market Depth in ASCIL

NexusFi · 2017-02-01T13:11:06-05:00

Hi, We now have full 50/50 DOM quotes on crude via CQG data. As this gives some extra info, other things get messy. For example Bid & Ask Depth Bar Study. I would like to analyse only first 10/10 DOM levels. There is such option but only regarding Historical Data as source. I tried to access this myself via ASCIL for (int Level = 0; Level BidDOM[Level].Volume; AskDepth = AskDepth + (int) sc.SymbolData->AskDOM[Level].Volume; } But I see I miss a lot of spikes due to chart refresh set to …

Discussion in Sierra Chart

Updated February 1, 2017

1,116 views
0 thanks given
2 followers

Search this Thread

DepthBars issue / Market Depth in ASCIL

February 1st, 2017, 01:11 PM	#1 (permalink)
payne1000 Warsaw, Poland Posts: 2 since Jun 2016 Thanks Given: 0 Thanks Received: 0	Hi, We now have full 50/50 DOM quotes on crude via CQG data. As this gives some extra info, other things get messy. For example Bid & Ask Depth Bar Study. I would like to analyse only first 10/10 DOM levels. There is such option but only regarding Historical Data as source. I tried to access this myself via ASCIL for (int Level = 0; Level < DEPTH_LEVELS; Level++) { BidDepth = BidDepth + (int) sc.SymbolData->BidDOM[Level].Volume; AskDepth = AskDepth + (int) sc.SymbolData->AskDOM[Level].Volume; } But I see I miss a lot of spikes due to chart refresh set to 10ms. Somehow original Sierras DepthBars got all information with all spikes even with refresh set to 200+ Is there any better way to access full live depth data from ASCIL then that code above? Thanks in advance!!! Martin

Last Updated on February 1, 2017