Retrieving and Handling Market Data with Python
If you look at the general logical diagram of a trading application’s architecture, which we devised in Chapter 1, Developing Trading Strategies – Why They Are Different, you can see that now we’re moving from the very first module named Receive data to the second one, Cleanup and filter, which features the Store and Retrieve functionality.
In previous chapters, we mentioned many times that any algo trading application is based on market data, and success in algo trading (that is, the ability to make money and not lose it) depends on the quality of the data and its consistency. So, let’s proceed to determine which data we really need to collect and how to make sure the collected data is consistent, then decide about the internal format for the trading app, and the way to store, update, retrieve, and delete data (if necessary).
Upon finishing this chapter, you will have a clear understanding of the most...
