question

Upvotes
Accepted
s61670 avatar image
89 ●2 ●6 ●9

correctly sorted

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?

tick-history-rest-api
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

1 Answer

Upvote
Accepted
Gurpreet avatar image
13k ●32 ●12 ●18

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.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Click below to post an Idea Post Idea