Create Bookmap Replay Files from historical dxFeed Level 2 data
Posted: Mon Mar 06, 2023 3:14 am
Hi all! I'd like to open the discussion of having a Bookmap Connect plugin developed to allow transforming historical dxFeed Level 2 data into Bookmap-readable Replay Files.
dxFeed can supply historical Level 2 data. They call it "Full Order Depth". They can also supply Trade data, which they call "Last Sale". Samples can be found at this link. Thinking naively, there should be enough information in those two datasets to create a Bookmap-readable Replay File.
I'm a mediocre developer and initially thought of using the Bookmap Recorder. But maybe there's another way to do this.
dxFeed can supply historical Level 2 data. They call it "Full Order Depth". They can also supply Trade data, which they call "Last Sale". Samples can be found at this link. Thinking naively, there should be enough information in those two datasets to create a Bookmap-readable Replay File.
I'm a mediocre developer and initially thought of using the Bookmap Recorder. But maybe there's another way to do this.