Hands-On Machine Learning for Algorithmic Trading

Working with order book data

The primary source of market data is the order book, which is continuously updated in real-time throughout the day to reflect all trading activity. Exchanges typically offer this data as a real-time service and may provide some historical data for free.

The trading activity is reflected in numerous messages about trade orders sent by market participants. These messages typically conform to the electronic Financial Information eXchange (FIX) communications protocol for real-time exchange of securities transactions and market data or a native exchange protocol.