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.
Create Bookmap Replay Files from historical dxFeed Level 2 data
-
traderwayne
- Posts: 7
- Joined: Sun May 17, 2020 2:07 am
- Has thanked: 3 times
- Been thanked: 1 time
-
Andry API support
- Posts: 548
- Joined: Mon Jul 09, 2018 11:18 am
- Has thanked: 25 times
- Been thanked: 85 times
Re: Create Bookmap Replay Files from historical dxFeed Level 2 data
Hi, as soon as I am sure everything is OK on the legal side with replaying dxFeed data I will get back to you.
In general, BookmapRecorder is only available to Quant Solution users.
In general, BookmapRecorder is only available to Quant Solution users.
-
traderwayne
- Posts: 7
- Joined: Sun May 17, 2020 2:07 am
- Has thanked: 3 times
- Been thanked: 1 time
Re: Create Bookmap Replay Files from historical dxFeed Level 2 data
Ah shoot. Thanks for letting me know. That's not a hard blocker for me. But I would probably need to push the work out, given the relatively high license cost.