Good day. I am trying to store the prices and volumes for 10 levels of each the ask and bid side of the order book. This would provide 40 values at each time step. Say time step is 1 hour. Then I would like to (i) calculate various features such as %_return_ask from one time step to the next (t, t-1) and then (ii) average the %_return_ask over say the last 4 hours. Hence, I need to be able to pull such info from some sort of array. Any thoughts?,Good day. I am trying to store the prices and volumes for 10 levels of each the ask and bid side of the order book. This would provide 40 values at each time step. Say time step is 1 hour. Then I would like to (i) calculate various features such as %_return_ask from one time step to the next (t, t-1) and then (ii) average the %_return_ask over say the last 4 hours. Hence, I need to be able to pull such info from some sort of array. Any thoughts?
Answer by russelltromans-1 · Oct 15, 2020 at 05:03 PM
The only way to store an array is to use a value bucket, more info on the value bucket can be found here: https://library.tradingtechnologies.com/adl/db-val...
It will depend on how exactly you wish to use the data which will dictate which configuration your logic will take. Below is a simplified example of how to collect data over multiple time periods and then access the data for use in your calculations.
Answer by sphaasz · Oct 19, 2020 at 12:25 AM
Good day. Thanks so much for the response. Really helped. Very detailed and informative. Much appreciated. S.
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