Order Book Aggregations

What are Order Book Aggregations?

An Order Book Aggregation is derived from an Order Book Snapshot, but instead of giving a point in-time view of each metric (depth, slippage, or bid-ask spread), it aggregates the metrics from each Order Book Snapshot from the time period requested. For example:

• A 5-minute period would aggregate the depth, slippage, and bid-asp-spread from 10 Order Book Snapshots (2 snapshots a minute for the 5-minute period requested).

• A 10-minute period would aggregate the depth, slippage, and bid-asp-spread from 20 Order Book Snapshots (2 snapshots a minute for the 10-minute period requested).