Module tdb_core::postprocessing

functions for histogram, event analytics

Modules

candle	candle data structure
event	events stream from slice of updates
histogram
level	orderbook data structure: [price -> time -> size] Level is the transpose of updates normally updates are of shape [time -> price -> size] this is [price -> time -> size] to keep track of size changes on each price level over time.
orderbook	orderbook data structure: [time -> price -> size]