Hi Guys,
Are there an example how to create the book with Python using Tick History Market Depth by order?
Best resgards
@guilherme.schuwarten
Thanks for reaching out to us.
Please refer to the REST API Tutorial 5: On Demand market depth extraction tutorial.
Moreover, you can also refer to the REST API Reference Tree to see all available parameters in the TickHistoryMarketDepthExtractionRequest.
I hope that this information is of help.
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,
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.
