Support Board

Date/Time: Sun, 19 May 2024 17:40:40 +0000

Post From: Market Depth File Format

[2018-11-12 16:56:35] Link To Thread - Link To Post [Go To First Post]
User12089 - Posts: 350
thank you, look forward to the full docs and also eventually API lib for parser and writer (although the doc can already be used to create such) ps: interesting - so in the Market Depth Files you keep the actual Book Modification Commands (ie "tick" by "tick"), rather than already "digested" and pre-aggregated limit order volumes at specific price levels and times