Are data for Year of orderbook and trade with all market depth available?
Posted: Tue Dec 31, 2019 2:21 am
If order book and trade data of all market depth(not limited)
are available for a year, analysis of heatmap, volume dots for year
with trailing average of day. Auction theory of demand/supply should
be valid over longer time frame as well as event(single buy/sell events).
I have orderbook and trade data for Korean equities(for example, Samsung Electronics) for a year
but with limited depth to 5(Korea and Japan exchange provide 5-10 depth order book only).
If bookmap has orderbook and trade data for a year with all market depth,
I am willing to analyze one sample (like S&P500 future, EURUSD forex future) and provide the
results to Bookmap community. In python, curation(cleaning data) and computing of
heatmap, volume dots, CQC,COB, CVP CVD, quotes delta can be done rather efficiently in pandas.
are available for a year, analysis of heatmap, volume dots for year
with trailing average of day. Auction theory of demand/supply should
be valid over longer time frame as well as event(single buy/sell events).
I have orderbook and trade data for Korean equities(for example, Samsung Electronics) for a year
but with limited depth to 5(Korea and Japan exchange provide 5-10 depth order book only).
If bookmap has orderbook and trade data for a year with all market depth,
I am willing to analyze one sample (like S&P500 future, EURUSD forex future) and provide the
results to Bookmap community. In python, curation(cleaning data) and computing of
heatmap, volume dots, CQC,COB, CVP CVD, quotes delta can be done rather efficiently in pandas.