Tick History Market Depth by order

guilherme.schuwarten
guilherme.schuwarten
in TRTH

Hi Guys,


Are there an example how to create the book with Python using Tick History Market Depth by order?


Best resgards

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  • guilherme.schuwarten
    guilherme.schuwarten

    Hi @Jirapongse,


    Thanks for the response, but I woud like to manipulate

    this example:


    CARR.PA,Market By Price,2016-09-29T09:00:00.079808027Z,+2,Raw,UPDATE,UNSPECIFIED,,,,6508,,31360,,0

    ,,,,Summary,,,,,,,,,3

    ,,,,FID,4148,,TIMACT_MS,32400031,

    ,,,,FID,6952,,TIMACT_MSP,95,

    ,,,,FID,17,,ACTIV_DATE,2016-09-29,

    ,,,,MapEntry,,UPDATE,,,,,,23.370A,7

    ,,,,FID,3427,,ORDER_PRC,23.37,

    ,,,,FID,3428,,ORDER_SIDE,2,ASK

    ,,,,FID,3430,,NO_ORD,2,

    ,,,,FID,4356,,ACC_SIZE,736,

    ,,,,FID,6527,,LV_TIM_MS,32400031,

    ,,,,FID,6529,,LV_DATE,2016-09-29,

    ,,,,FID,3886,,ORDER_TONE,2,

  • Jirapongse
    Jirapongse

    @guilherme.schuwarten

    The data is from the TickHistoryRawExtractionRequest.

    As I know, we don't have an example that shows how to create the book from the raw data. However, we have an article that explains the Level II data: How to Sort & Process Level 2 Orderbook Data using EMA C++ API.

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