mbp-mbo-level-data
CommunityReconcile market data feeds.
Data & Analytics#diagnostics#market data#data normalization#order book#feed handling#queue analytics
AuthorGhostOf0days
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill addresses the complexity of handling and validating different types of market data feeds (MBP and MBO) to ensure consistency and accuracy in order-book reconstruction and queue analytics.
Core Features & Use Cases
- Feed Normalization: Standardizes market-by-price (MBP) and market-by-order (MBO) data into a common schema.
- Order Book Reconstruction: Rebuilds the top-of-book and depth ladders for analysis.
- Queue Analytics: Analyzes queue turnover, cancellation pressure, and depth imbalance.
- Production Controls: Implements checks for feed consistency and data integrity before release.
- Use Case: When dealing with multiple data providers, this Skill ensures that the market data used for trading strategies or risk management is consistent and reliable, regardless of the original feed format.
Quick Start
Run the diagnostics script on the input CSV file to analyze the market data.
Dependency Matrix
Required Modules
None requiredComponents
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: mbp-mbo-level-data Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#mbp-mbo-level-data Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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