Module Memory_mapped.MarketData

Market data specific structures

type candle = {
  1. timestamp : int64;
  2. open_price : float;
  3. high_price : float;
  4. low_price : float;
  5. close_price : float;
  6. volume : float;
}

OHLCV candle structure

val candle_size : int
val write_candle : mmap_handle -> int -> candle -> unit
val read_candle : mmap_handle -> int -> candle
type tick = {
  1. timestamp : int64;
  2. price : float;
  3. volume : float;
}

Tick data structure

val tick_size : int
val write_tick : mmap_handle -> int -> tick -> unit
val read_tick : mmap_handle -> int -> tick
type level = {
  1. price : float;
  2. quantity : float;
}

Order book level

val level_size : int
val write_level : mmap_handle -> int -> level -> unit
val read_level : mmap_handle -> int -> level