We have seen in one of the previous examples how to record ticks (bid/ask prices and their respective volumes).
Is it possible to record deals -- i.e. bid ask quotes that were actually hit by a market order? It would be great if you could show a code snippet for that.
Thanks very much. Just to clarify -- my question is about not about my own orders, but about deals by anyone consuming the liquidity space. would order history get these too?
Just to clarify -- my question is about not about my own orders, but about deals by anyone consuming the liquidity space. would order history get these too?