Support Board
Date/Time: Thu, 23 Jan 2025 09:37:41 +0000
Post From: Market Depth File Format
| [2018-11-12 16:56:35] |
| User12089 - Posts: 364 |
|
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 |