Tag Info

Hot answers tagged

2

Whether to store L1 (trades/BBO only), OHLC and order book depends on your downstream application. I encourage you to start with L1 (easy to store) and then think about what to do as your use cases evolve. If your trading strategy only uses trade prices, then you are fine with L1. And OHLC can be backed out from L1. It is very tempting to store more data ...



Only top voted, non community-wiki answers of a minimum length are eligible