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Split ticks_string into multiple output tables #4

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chipkent opened this issue Jan 25, 2022 · 0 comments
Open

Split ticks_string into multiple output tables #4

chipkent opened this issue Jan 25, 2022 · 0 comments
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@chipkent
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ticks_string is a dumping ground of data that should be split into multiple tables. These should include at least:

  1. A stringset of decoded exchange codes. See ticks_string should map exchange codes to exchange names #3 .
  2. Decoded real-time volume, including RT_TRD_VOLUME and RT_VOLUME (https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume)
  3. Timestamps
@chipkent chipkent self-assigned this Jan 25, 2022
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