Let's say that for a single asset, we have a data stream from which we receive both level 2 order book updates (price level/quantity updates) as well as time & sales updates (grouped recent trades).

I realize that what is done with this data to inform trading decisions becomes proprietary quite quickly, but wanted to know if there is a common format or structure that these differing types of messages (limit order book level/quantity updates and trades) are combined into in practice or if this "combining" is even the right way to go about things? compared to analyzing each separate message as an event that impacts the order book, etc.

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    $\begingroup$ This question still looks to be a bit on the border to me despite all the revisions, but I think it is now both focused and detailed enough to be reopened unless someone knows a duplicate. $\endgroup$
    – Alper
    Commented Sep 17, 2023 at 22:17
  • $\begingroup$ @Alper thank you very much for the feedback/editing/etc. do you feel as if there any other specific changes on my end that should be made if, in essence, I'm just wanting to know about common industry best practices (if there even really are any) for handling/combining level 2 and trade data together? $\endgroup$
    – QMath
    Commented Sep 18, 2023 at 1:32
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    $\begingroup$ I think the perceived problem with your question, despite the recent revisions, could be that it is still a bit broad. Your question would probably have a better chance of getting reopened if it was rather about a certain aspect or a certain step of the way the kind of data described in your question is supposed to be handled within the HFT context. My other suggestion could be for you to enquire details about what your question remains closed and what you can do to reopen it in the Meta section which is the best place for such a discussion. $\endgroup$
    – Alper
    Commented Sep 20, 2023 at 14:45
  • $\begingroup$ Okay, @Alper ,that makes sense, I will revisit those points. Thank you so much for your continued help/feedback on this :) $\endgroup$
    – QMath
    Commented Sep 20, 2023 at 23:12


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