Summary

In this chapter, we learned how to process both live and historical market data and, most importantly, how to do it in an efficient way. We are now familiar with time-based bars, which are most heavily used in trading strategies. We also learned about the solution that helps keep our trading applications flexible and quickly switch from one data source to another, which will help when switching from testing to production in the future.

Now, we are ready to move on to using the processed market data in our trading strategies. Let’s see how we can do this in the next chapter.