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Data Pipeline for Trading Systems
$24.99$19.99Save 20%
$19.99
From exchange feed to clean bars.
Why JSON is wrong for high-frequency data.
Ring buffer implementation for tick storage.
Bar aggregation: how ticks become OHLCV bars.
VPIN calculation for slippage estimation.
Includes working code templates for:
TVC3 header structure
RingBuffer implementation
BarAggregator with VWAP
VPIN calculator
