trade29.sc.SCBridge.subscribe_to_market_depth

SCBridge.subscribe_to_market_depth(key: str, number_of_levels: int = 5, include_pulling_stacking: bool = False, update_frequency: int = -1, include_market_by_order=False) → int

Subscribes to constant snapshots of market depth data from chart with study with given key.

This method returns an integer request_id that can be used to filter the bridge’s response queue to market depth data from the corresponding chart.

Parameters:

keystr

Key that matches the key given to the target Study in SierraChart.

number_of_levelsint, default 5

The number of levels of market depth data to request.

include_pulling_stackingbool, default False

Whether or not to include columns for pulling/stacking data.

update_frequencyint, default -1

Frequency at which to send updates in milliseconds. Any value less than the chart update frequency will use the chart update frequency.

include_market_by_orderbool, default False

Whether or not to include columns for market by order data. Market by order needs to be enabled in Sierra Charts global settings for this to work. Refer to step 1 of the Sierra Chart guide for how to do this.

Returns:

int

A request ID that can be used to filter the bridge response queue for relevant data. The response will be given as a MarketDepthResponse. It can be observed as a dataframe by calling response.as_df() where a dataframe with columns for Side, Price, BidVolume, AskVolume, BidPullingStacking, AskPullingStacking, and MBO will be given.

Examples

from trade29.sc.bridge import SCBridge

bridge = SCBridge()

request_id = bridge.subscribe_to_market_depth('xx')

response_queue = bridge.get_response_queue()

while True:

    msg = response_queue.get()

    if msg.request_id == request_id:
        msg.as_df()