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Tick History Market Depth by order

Hi Guys,


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


Best resgards

#technologymarket-depthmarket-by-order
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Jirapongse avatar image   Jirapongse

@guilherme.schuwarten

Hi,

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Thanks,

AHS

Jirapongse avatar image   Jirapongse

@guilherme.schuwarten

Hi,

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AHS

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Jirapongse avatar image
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@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.


1685327462573.png


I hope that this information is of help.


1685327462573.png (79.6 KiB)
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guilherme.schuwarten avatar image 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,

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Jirapongse avatar image
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@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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