Sierra Chart Market Depth Converter

Purpose

Convert Sierra Chart .depth files to csv text files.

These can then be used for research purposes.

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 export <input> <output> <all|nrows>

sc_market_depth_converter.exe count <input>

Commands

count - prints the number of rows in the file

export - exports the records to a text file

  • input - the depth file

  • output - the file to write to

  • number of rows - two options, all (which exports all the rows) or a number (for example 100 would export the first 100 rows)

 

Example 1 - get the number of records

sc_market_depth_converter.exe count my_file.depth

Example 2 - export all rows

sc_market_depth_converter.exe export my_file.depth out.txt all

Example 3 - export 1000 records

sc_market_depth_converter.exe export my_file.depth out.txt 1000

Example session

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