The Importance of Maintaining a Time-series Database of Quotes, Orders and Trade Executions
We recently discussed forex order execution in an article in e-Forex magazine.
This article goes into detail about how data recording and advanced analytics can be used to collect and constantly evaluate time series data with all the layers of historical orders, executions and order books from multiple liquidity providers.
This approach provides the necessary granularity and a level of precision in execution decisions not available in traditional trading systems.
To download the article, click here.