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Quantitative Finance · Begrippenlijst

Wat is Raw capture?

Definition 2.2 Research, Data and Risk Platforms · Hoofdstuk 2 — Capturing and Storing Tick Data

A raw capture is the sequence of bytes received at a capture point, kept without interpretation, each unit (a packet, a frame) with the time the firm received it.

Voorbeelden

Example 2.4 (A field nobody kept)

The simulator’s executed-with-price messages (type C) carry a printable flag that says whether the execution counts toward the day’s volume, and its order additions carry the instrument’s symbol and a tracking number. The normalised record has no field for any of them. A researcher who later wants volume that excludes non-printable executions can recompute it only from the raw capture; from the normalised store, the information is gone for every day already written.

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