Accessing historical market depth through ACSIL or DTC

February 4th, 2020, 03:58 PM

Anyone have experience accessing historical market depth data via ACSIL? I've got a ton of .depth files and can of course load them into a Chart window then do a replay/backtest, but would like to export that data (with the order book (re)constructed true-to-form) for experimentation in Python. Doesn't seem that DTC Protocol is readily set up to access historical depth.

Here's a list of ACSIL functions used for getting this data: Programmatically Accessing Historical and Current Market Depth Data

Here's the Market Depth File Format/structure: Market Depth Data File Structures Used

I've got some 'scaffolding' in an ACSIL script, using their template and some of the functions, but need some help completing.

February 5th, 2020, 06:02 AM

ClutchAce

Doesn't seem that DTC Protocol is readily set up to access historical depth.
.

It is wrong. DTC Protocol is the only one way to get complete level2 real-time data. It can be recorded to txt or binary.
ASCIL gives a possibility to acsess level2 snapshots only.

Historical depth files you are mentioned, recorded internally by sc. there are no external retail providers of historical depth (formely Nanex LLC has such data for 2-week period)

Accessing historical market depth through ACSIL or DTC

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Accessing historical market depth through ACSIL or DTC