A Market by Price Order Book with full depth of price levels. This is a full tick history allowing customers to reconstruct the whole order book. Snapshots are mixed at regular intervals to avoid customers having to reconstruct the order book from start of day. Reconstruction of a full depth order book relies on a series of consecutive snapshot entries to baseline the order book. Delta entries (with snapshot flag as false) are used to incrementally manage the order book with add/update/remove actions. Orderbook actions are managed implicitly as follows in price-time priority order: Add - where price level does not exist for the given side. Update - where price level already exist for the given side. Remove - when quantity for price level is 0 for the given side
The data format below is available in CSV files accessible using SFTP.
Field | Description |
|---|---|
exchange | Symbol used for the exchange |
base | Base symbol |
quote | Quote symbol |
timestamp | Epoch timestamp in microseconds. |
snapshot | Holds 'true' if the entry is part of an order book snapshot. This will be 'false' for all subsequent delta updates. If an entry prior was not a snapshot and the current one is, then all previous orderbook entries should be discarded (all levels removed to rebaseline the order book). |
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A Market by Order level book with complete order activity to construct a full depth order book. Snapshots are mixed at regular intervals to avoid customers having to reconstruct the order book from start of day.
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