Get simulation market data

Get a dictionary containing level 2 market data over the simulation

• Bid and ask touch prices

• Bid and ask volumes

• Volumes and number of orders at 10 levels from the touch

Returns:¶

dict[str, np.ndarray] – Dictionary containing level 1 data with keys:

• bid_price - Touch price

• ask_price - Touch price

• bid_vol - Total volume

• ask_vol - Total volume

• trade_vol - Total trade vol over a step

• bid_vol_<N> - Volumes at 10 levels from bid touch

• ask_vol_<N> - Volumes at 10 levels from ask touch

• n_bid_<N> - Number of orders at 10 levels from the bid

• n_ask_<N> - Number of orders at 10 levels from the ask