Deep Learning For Finance: Working With Order Book Data — NASDAQ
The order book serves as the main origin of market data, undergoing continuous real-time updates throughout the day to encompass all trading activities.
Exchanges usually make this data available as a real-time service, with the possibility of offering some historical data at no cost.
Trading activity manifests through multiple messages containing trade orders submitted by market participants. These messages typically adhere to the electronic Financial Information eXchange (FIX) communications protocol, …