Query Engine
The Query Engine allows customers to request Historical Data in unique ways tailored to the needs of traders interested in exploiting market micro-structure opportunities. Queries can be set up to return any combination of variable market depth, outright quantities, implied quantities, number of orders in the book, trade executions and total volumes. Events of interest can be bracketed by a specified number of ticks forward and/or backward allowing customers to view the relevant information surrounding an event. The Query Engine also has a filtering feature that allows customers to require certain changes in price and/or quantity at a specified market depth and/or time interval before being eligible to be returned in a query.
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