Market data

The data the engine understands.

Types

• Quote ticks: bid, ask and their sizes
• Trade ticks: price, size, aggressor side, trade id
• Bars: open, high, low, close from quote mid or trade price, with volume from trades
• Time events from timers
• Custom data: a schema name and a serialised body

Bars

A bar covers a fixed period and is emitted only after the period has ended. Periods with no ticks emit nothing. The quote mid is (bid + ask) / 2 in raw integer units, truncated toward zero.

Order book depth

Planned. Today the engine sees top of book only.