correctly sorted

s61670
s61670 Explorer
in TRTH

If in real-time data in one stream, then how to combine historical data?

code:

UInt64 handle1 = consumer.registerClient( ReqMsg().domainType( MMT_MARKET_PRICE ).serviceName( "ELEKTRON_DD" ).name( "ESM1m" ), client ); 

UInt64 handle2 = consumer.registerClient( ReqMsg().domainType( MMT_MARKET_PRICE ).serviceName( "ELEKTRON_DD" ).name( "ESM1" ), client );

real-time data is mixed (Level 2+trade) in one stream, historical data two files (RawLegacyMarketDepth and Market Price).

is it possible to get the order book and trades from history in the formats we need in one file, sorted by time?

How to combine these two files correctly?

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Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hi @s61670,

    You cannot make a single file request for market depth and Time and Sales data for tick history. If you intend to merge the files, then the you can use the timestamp, since it should be consistent between the two files.

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