Purpose
Convert Sierra Chart .depth files to csv.
SC Depth Files
SC depth files include a log of Market Depth activity. Its basically a record of Limit Order Book (LOB) order changes over time.
These depth files are binary format - https://www.sierrachart.com/index.php?page=doc/MarketDepthDataFileFormat.html#DataStructures
See here for more on how to obtain these files: Sierra Chart Market Depth Historical Graph
Download
Command line
sc_market_depth_converter.exe <input> <output> <nrows>
input - the depth file (for example ESZ22-CME.2022-11-01.depth)
output - the file to write to
nrows - number of rows to read from the file
For example
sc_market_depth_converter.exe ESZ22-CME.2022-11-01.depth md.txt 5000
Exports the first 5000 rows from ESZ22-CME.2022-11-01.depth to md.txt
File format
Most of the columns are self explanatory.
Command is a number from 0-7
NO_COMMAND = 0
CLEAR_BOOK = 1
ADD_BID_LEVEL = 2
ADD_ASK_LEVEL = 3
MODIFY_BID_LEVEL = 4
MODIFY_ASK_LEVEL = 5
DELETE_BID_LEVEL = 6
DELETE_ASK_LEVEL = 7