Re: historical and live recording of tick data
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Hi Hannnnny,
As described your algorithm will work if the ticks start and end times are synchronisable across the two streams, otherwise you'll have spans of bid/offer that are overlapping multiple spans of trades or vice versa, which will take some effort if you wish to go about correcting it.
Do you know if they are sync'd?
Best wishes,
M
On 3 September 2018 at 11:37, hannnnny via Groups.Io <hannnnny@...> wrote: I'm thinking of a kind of lookup algorithm based on timestamp to slot the trade ticks into the bid/offer ticks, I was just hoping someone has done this already but do you know some reason why this can't be done??
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