Order Data
Data services

ORCS: Multidimensional Aggregation Service

Overview

Get a comprehensive overview of the historical evolution of an order book with our ORCS multidimensional aggregation service. ORCS delivers information about order book changes throughout a specified period, minimizing transferred volume by aggregating data.

Why use ORCS

ORCS compresses data while maintaining a sufficient level of granularity.

Generally speaking, order data for a particular symbol can take up to 500MB; ORCS decreases the volume of delivered granular data by up to 25 times.

Quick access to granular data enables brokers to offer traders highly demanded features. With the ability to monitor the market’s evolution over time, traders can gain more detailed information and make better trading decisions.

Application and use cases

  1. ORCS speeds up trading terminal and viewer operations.
  2. We store data that allow users to build various indicators. We can build market profile indicators that show non-executed volume inside each price level.
  3. Build a heatmap and read liquidity like a map. ORCS data displays the historical limit order book (historical liquidity). With the heatmap, quickly understand which price levels are trusted by the market and rapidly react to sentiment changes.

Why dxFeed ORCS

Significantly reduces transferable data volume
Provides granularity level according to your needs
Offers deep historical data for analyzing trends
Reduces the amount of transferred data through subscribing to the higher granularity of volume movements
Provides granularity for NBBO data from CTA/UTP to compare with TotalView Top of the Book
May be combined with trade-based Price level candles: this allows building a full historical market data profile for analysis and backtesting

Availability

Available feeds
Nasdaq TotalView
Cboe EDGX Depth
ICE US
ICE EU
CME Group (CME, CBOT, NYMEX, COMEX)
Borsa Istanbul Equities
Borsa Istanbul Futures
Eurex
More to be added
Available aggregations
1 second
5 second
15 seconds
1 minute
1 day
Сustom aggregations
History depth
Configurable with a default setting of 2 weeks
Access
RMI
Delivery modes
Real-time dissemination
Historical requests