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I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just matching bids to asks at the moment - I was wondering if there was a way to test my code on real orderbook data. I took a look at LOBSTER and tried downloading some sample message data and running it through my book, but the issue is that there are a lot of orders being executed from previous periods which breaks my code: there are orders being cancelled with an orderid not in my system, and how am I meant to model the orderbook when I don't have the current list of all bids and asks from previous days/years?

I could write up some mock data from the 'beginning of time' to test, but everyone else seems to be doing fine with modelling real data using LOBSTER. What am I doing wrong here?

(I am also open to not using LOBSTER, if that's the issue)

Thanks all :)

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I am OP - the way I'm doing it right now is just taking an orderbook of the highest amount of price levels I can (currently 50), and just populating my orderbook with those as the very first step. It won't hold properly long-term, but there's not much way around it.

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  • $\begingroup$ I think you are better off deleting this as an answer and editing your question to include this so that people know what you have tried so far. $\endgroup$
    – amdopt
    Jul 27, 2023 at 12:14

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