8000 why do we need to infer the trades from orders? the log already has them · Issue #31 · phil8192/ob-analytics · GitHub
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why do we need to infer the trades from orders? the log already has them #31
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why do we need to infer the trades from orders? the log already has them#31
@ssh352

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@ssh352
ssh352
opened on Jan 13, 2020

First, thank you for such a useful package! I am not familiar to bitstamp data so have this question:

I assume extdata/2015-05-01.log.xz is the raw market data recording, it already has trades in it. Why does the package spend time on inferring the trades from orders?

Screen Shot 2020-01-13 at 3 06 43 PM

the inferred trades count is 482

Screen Shot 2020-01-13 at 3 06 15 PM

parse.sh explicitly filters trades and generates the orders.csv

Screen Shot 2020-01-13 at 3 05 58 PM

the log has 575 trades, which is different from number of inferred trades.

the individual orders and trades are usually directly provided by exchanges, so why does the package spend time on inferring trades from orders?

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