Why the reconstructed order book dataset is constrained?

February 21, 2019

The reconstructed order book is a very dense dataset, because stores millions of snapshots of the order book for a given financial instrument for every market day. Querying the dataset in a way too wide will lead to an eccessive workload on our infrastructure and to an output too big to be shared on the HTTP protocol.

In order to guarantee a decent level of service for everybody, its retrieval is constrained along the aggregation level. If you need more, please perform multiple queries.