Event Schemas
Market data may describe orders, price levels, trades, quotes, snapshots, corrections, and administrative state. A schema determines what can be reconstructed.
Central questions
- Is the feed market-by-order, market-by-price, or a derived view?
- Which fields distinguish updates, corrections, and deletions?
- What precision and units apply to price, size, and time?
Planned model
Encode the same market events as L1, L2, and L3 data and expose which questions each representation can and cannot answer.