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Transaction Price and Quantity #3

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ghost opened this issue Feb 23, 2019 · 0 comments
Open

Transaction Price and Quantity #3

ghost opened this issue Feb 23, 2019 · 0 comments

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@ghost
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ghost commented Feb 23, 2019

Hi,

I'm building a simulator using your matching engine,

I was wondering if you have any suggestions on an efficient way to extract a time series (or just an event-by-event vector) of transacted (matched) price and quantity pairs ? In particular, when the matching is enabled at all time.

Best,
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