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Date/Time: Fri, 14 Mar 2025 13:41:58 +0000

Post From: Aggregating recent ask/bid volume

[2021-03-31 15:43:00] Link To Thread - Link To Post [Go To First Post]
FilipL - Posts: 13
Hello, is there a way to aggregate recent ask/bid volume within certain ranges? For example: Recent ask volume (RAV) for price 100 = 3 RAV for 100.25 = 5 RAV for 100.50 = 3 RAV for 100.75 = 5 If I set market depth increment on 4 tick then I would like to see a RAV (for price 100) = 16 (3+5+3+5) so as a sum of RAVs within range [100,101) Because with default recent bid/ask volume and depth of a market increment of 4 ticks, my DOM looks like this (attached file) Is there a way to aggregate those RAV and RBV? Thank You in advance.
0x Thank you
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