I'm trying to build a some depth data for MtGox, actually I only need around 10 values deep each side of the spread.
Gox seems to build the full depth data periodically, so its is often >20minutes old. (This seems the same for all the API versions).
The streaming websocket sends data in real time which I can apply to this full depth data, but this leaves a gap of depth updates between the time of gox full depth updated and when my program starts running.
I only see one option, and that is to run a process permanently that stores the streaming data, and once I get a full depth file that returns timestamps beyond the earliest streaming data I have stored, I can
1) Make my initial depth hash equal to the full depth data file
2) Then apply the streaming data
I must be missing something obvious, Isn't there an easier way?
Topic: MTGOX depth (Read 680 times)
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