The new real-time tick is a bit tricky, although the price may be collected, but I found that the transaction volume is still simulated, hopefully adding the real-time data of the transaction volume, it will not have much storage space anyway.
In addition, I have tried to collect data synthesis myself, and found that statistics on the volume of transactions per second and more accurate closing price data can be obtained with GetTrades to obtain the most recent transaction records, so that order prices can be accurate to milliseconds without having to be affected by network latency. If Z is not collected in this way, it can be tried and should help to improve accuracy.
ZeroWell, at first we were preparing to collect buy-sell-sell and hang-up quantity and transaction, but later we found out that we collected a lot of data, so we only collected the price, buy-sell-sell-end transaction price, the quantity was not collected. Currently, we are collecting a second. If we really do real-time collection, a second transaction has hundreds of times, the re-measurement will be very slow, so we will use a snapshot every second, no collection, is simulated, only the price is close to real, thanks for providing feedback.
Zero 期货数据每月低上传一次.
edwardgywZ is big, the futures data hasn't been updated for a long time, have you found a new data source?
edwardgyw thanks a lot
ZeroThe commodity futures tick collection is already running on the server, and the collected time interval data is released.
ZeroWell, thanks, futures I'm ready to buy tick-level data right away, your thoughts are good, thanks for the suggestion, updated my reply.
edwardgywWell, add up, I mean the information that GetTrades gets doesn't need to be stored, but it's processed by synthesizing a snapshot of the transaction every second (adding the volume of transactions and taking the final transaction price) because I tried it through GetRecords and the market is delayed or inaccurate, and I say the way it is through the historical transaction record, it's very accurate.