Order book modelling


#1

Question, is there infrastructure within OG for downloading and storing order book information? If not, are there any pointers to places where people have created class structures to model an order book. It seems like one of those straightforward things that might have a non-obvious gotcha.


#2

The data model has portfolios, positions and trades. Trades are the closest to an order book. You’ll need to determine if that is sufficient for your needs.