bourse.core.StepEnv.level_2_data_array() numpy.ndarray

Get current level 2 data as a Numpy array

Returns a Numpy array with values at indices:

  • 0: Bid touch price

  • 1: Ask touch price

  • 2: Bid total volume

  • 3: Ask total volume

  • 4: Bid touch volume

the following 40 values are data for each price level below/above the touch

  • Bid volume at level

  • Number of buy orders at level

  • Ask volume at level

  • Number of sell orders at level