Tick History Market Depth by order

guilherme.schuwarten · May 2023

Hi Guys,

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

Best resgards

Jirapongse · May 2023

Thanks for reaching out to us.

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.

guilherme.schuwarten · May 2023

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 · May 2023

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.

Best Answer