PS: Sorry about my english its very poor. I used google translator.
I am having doubts about the data I import from a file in the format: Tick (Sub Second Granularity) for the Historical data.
In the database I have 3 types of files, and all are sorted by Instrument symbol:
1) Trades - Trades realized;
2) Buy Orders - Trades realized and not realized;
3) Sell Orders - Trades realized and not realized.
My question is:
For files Last XX 00-00.Last.txt = Trades, XX 00-00.Bid.txt = Buy Orders and Ask XX 00-00.Ask.txt = Sell Orders. Is correct ?
Here its the link for Database :ftp://ftp.bmf.com.br/MarketData/BMF/
Attached files :
1) Exemple NEG files.txt = Trades realized;
2) Exemple Buy files.txt = Buy Orders (realized or not);
3) Exemple SELL files.txt = Sell Orders (realized or not).
For Attached files i have edited and erase alots of data, because they are too big.
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