README.md

Schema

Here are the fields and data types expected for each data input. Only the quote data is a required input. All others are optional.

Quote Data

• timestamp: Nanosecond precision EPOCH timestamp INT
• symbol: STR
• bid_price: FLOAT
• ask_price: FLOAT
• micro_price: FLOAT

Trade Data

• timestamp: Nanosecond precision EPOCH timestamp INT
• symbol: STR
• price: FLOAT

Fill Data

• timestamp: Nanosecond precision EPOCH timestamp INT
• symbol: STR
• price: FLOAT
• is_buy: BOOL
• is_aggressive: BOOL

Orders Data

• timestamp: Nanosecond precision EPOCH timestamp INT
• symbol: STR
• price: FLOAT
• is_new: BOOL
• is_cancel: BOOL
• is_reject: BOOL
• is_ack: BOOL

Valuation Data

• timestamp: Nanosecond precision EPOCH timestamp INT
• symbol: STR
• theo_price: FLOAT

Code

Reference microplot::schema.