nkaz001/hftbacktest

5 LEVEL SNAPSHOT For a stock market that provides only orderbook data, how to process the data ?

bohblue2 opened this issue · 2 comments

bohblue2 commented

For the orderbook in snapshot format, we know that we need to convert it to incremental format to put the data in.

For the stock market, the day starts at 9:00 and the regular day ends at 4:30 pm. In this case, can I ask for some guidelines on how to handle DEPTH_CLEAR_EVENT and DEPTH_SNAPSHOT_EVENT?

Also, I appreciate your open source, and would like to support you, either as a github sponsor or on Patreon would be great.

nkaz001 commented

Please see #42 (comment)

But, 5-level snapshot data cannot show the complete market information. For instance, US stock markets have a Market-By-Order feed. Although hftbacktest currently cannot directly process MBO feeds, it is better to convert MBO into Market-By-Price rather than converting a 5-level snapshot.

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bohblue2 commented

I thought I had seen all the issues, but I missed them, so thanks for the reminder.

The Orderbook snapshot information needs to be converted to a Market-By-Price type, thank you.