filter

Filter Avg

Minute data of the average filter bid and ask prices, written to stats/filter/avg/filter_avg.csv.

Heading	Explanation
date	The date.
time	The time.
symbol	The symbol.
BID	Static heading that separates the bid columns when the file is read as text.
bid_count	The number of bid updates.
bid_avg	The average bid.
bid_open	The opening bid.
bid_high	The highest bid.
bid_low	The lowest bid.
bid_close	The closing bid.
ASK	Static heading that separates the ask columns when the file is read as text.
ask_count	The number of ask updates.
ask_avg	The average ask.
ask_open	The opening ask.
ask_high	The highest ask.
ask_low	The lowest ask.
ask_close	The closing ask.
SPREAD	Static heading that separates the spread columns when the file is read as text.
spread_avg	The average spread.
spread_open	The opening spread.
spread_high	The highest spread.
spread_low	The lowest spread.
spread_close	The closing spread.

Filter Best

Minute data of the best filter bid and ask prices, written to stats/filter/best/filter_best.csv. The same folder holds filter_worst.csv, which has the same layout and records the worst filter bid and ask prices and the makers that streamed them.

Heading	Explanation
date	The date.
time	The time.
symbol	The symbol.
BID	Static heading that separates the bid columns when the file is read as text.
bid_count	The number of bid updates.
bid_avg	The average bid.
bid_open	The opening bid.
bid_high	The highest bid.
bid_low	The lowest bid.
bid_close	The closing bid.
bid_high_maker	Maker who first streamed bid_high.
bid_low_maker	Maker who first streamed bid_low.
ASK	Static heading that separates the ask columns when the file is read as text.
ask_count	The number of ask updates.
ask_avg	The average ask.
ask_open	The opening ask.
ask_high	The highest ask.
ask_low	The lowest ask.
ask_close	The closing ask.
ask_high_maker	Maker who first streamed ask_high.
ask_low_maker	Maker who first streamed ask_low.