NOTES.md

Example tick data

uid (1)	timestamp	nanoseconds (2)	price (3)	volume (3)	notional (3)	tickRule (4)
...	...00:27:17.367156	0	456.98	2000	4.3765591...	-1
...	...00:44:59.302471	0	457.1	1000	2.1877050...	1
...	...00:44:59.302471	0	457.11	2000	4.3753144...	1

Note:

1. UID

• Some exchanges use integer IDs, others UUIDs.

2. Nanoseconds

• Many databases don't support nanoseconds. Then again, many exchanges don't either. Timestamps are parsed with pd.to_datetime(value), as datetime.datetime doesn't support nanoseconds. If nanoseconds exist, they are saved to the nanoseconds column.

3. Price, volume, and notional

• django-quant-tick stores decimals with max_digits=76 and decimal_places=38, similar to BigQuery's BIGNUMERIC type. Some exchange REST APIs return floats rather than strings, which can be an issue when parsing to Decimal. Such exchanges include Bitfinex, BitMEX, and Bybit. For those exchanges, response is loaded with json.loads(response.read(), parse_float=Decimal)).

4. Tick rule

• Plus ticks and zero plus ticks have tick rule 1, minus ticks and zero minus ticks have tick rule -1.