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DepthBars issue / Market Depth in ASCIL
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DepthBars issue / Market Depth in ASCIL

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Trading Apprentice
Warsaw, Poland
Trading Experience: Intermediate
Platform: SierraChart
Favorite Futures: CL
Posts: 2 since Jun 2016
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DepthBars issue / Market Depth in ASCIL


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!!!

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