Market Depth Data File Format

Market Depth Data File Structures Used

The market depth data file header file is as follows. The size of this data structure is 64 bytes. This header is at the beginning of a market depth data file.

struct s_MarketDepthFileHeader
{
    //--- Static Members ---------------------------------------------

    // This is the minimum number of bytes that must be read in order
    // to verify the file as a depth file and read in the rest of the
    // header.
    static const int MINIMAL_HEADER_SIZE = 16;

    static const uint32_t UNIQUE_HEADER_ID = 0x44444353;  // "SCDD"

    //--- Members ----------------------------------------------------

    uint32_t FileTypeUniqueHeaderID;  // "SCDD"
    uint32_t HeaderSize;
    uint32_t RecordSize;
    uint32_t Version;

    char Reserve[48];

    //--- Methods ----------------------------------------------------

    s_Header()
    : FileTypeUniqueHeaderID(UNIQUE_HEADER_ID)
    , HeaderSize(sizeof(s_Header))
    , RecordSize(sizeof(s_Record))
    , Version(1)
    {
        memset(Reserve, 0, sizeof(Reserve));
    }

};
    

The market depth data file record structure is as follows. The size of this data structure is 24 bytes.

A market depth data file consists of a single header at the beginning of the file followed by records of the s_MarketDepthFileRecord structure type.

struct s_MarketDepthFileRecord
{

    //--- Types ------------------------------------------------------

    enum CommandEnum : t_Byte
    { NO_COMMAND = 0
    , COMMAND_CLEAR_BOOK = 1
    , COMMAND_ADD_BID_LEVEL = 2
    , COMMAND_ADD_ASK_LEVEL = 3
    , COMMAND_MODIFY_BID_LEVEL = 4
    , COMMAND_MODIFY_ASK_LEVEL = 5
    , COMMAND_DELETE_BID_LEVEL = 6
    , COMMAND_DELETE_ASK_LEVEL = 7
    };
    
    //This flag indicates the end of a batch of market depth updates. 
    static const uint8_t FLAG_END_OF_BATCH = 0x01;

    //--- Members ----------------------------------------------------

    SCDateTimeMS DateTime;

    CommandEnum Command = NO_COMMAND;
    uint8_t Flags = 0;
    uint16_t NumOrders = 0;

    float Price = 0.0f;
    uint32_t Quantity = 0;
    uint32_t Reserved = 0;  // Not used, but exists due to byte padding.

    //--- Methods ----------------------------------------------------

    s_Record()
    {

    }

};
    

s_MarketDepthFileRecord Structure Member Descriptions

enum CommandEnum : uint8_t
{ NO_COMMAND = 0
, COMMAND_CLEAR_BOOK = 1
, COMMAND_ADD_BID_LEVEL = 2
, COMMAND_ADD_ASK_LEVEL = 3
, COMMAND_MODIFY_BID_LEVEL = 4
, COMMAND_MODIFY_ASK_LEVEL = 5
, COMMAND_DELETE_BID_LEVEL = 6
, COMMAND_DELETE_ASK_LEVEL = 7
};
    

static const uint8_t FLAG_END_OF_BATCH = 0x01;
    

Identifying Full Market Depth Data Snapshot

In a market depth data file the full snapshot of all market depth levels is written to the file every 10 minutes.

You can identify a snapshot by the following pattern of s_MarketDepthFileRecord records.

A s_MarketDepthFileRecord where s_MarketDepthFileRecord::Command = s_MarketDepthFileRecord::COMMAND_CLEAR_BOOK.

Zero or more s_MarketDepthFileRecord records where s_MarketDepthFileRecord::Command = s_MarketDepthFileRecord::COMMAND_ADD_BID_LEVEL or COMMAND_ADD_ASK_LEVEL.

The final record in this snapshot batch will have s_MarketDepthFileRecord::Flags = s_MarketDepthFileRecord::FLAG_END_OF_BATCH;