roq-reduce

Purpose

  • Create new event-log by filtering an existing event-log.

Conda

$ conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-tools

$ roq-reduce [options] \
    event_log_file

Flags

$ roq-reduce --help

--output_path

The path for the new event-log

--exchanges

List of regex patterns for exchanges to include.

--symbols

List of regex patterns for symbols to include.

--top_of_book

Include top of book? (default: true)

--market_by_price

Include market by price? (default: true)

--market_by_order

Include market by order? (default: true)

--trade_summary

Include trade summary? (default: true)

--statistics

Include statistics? (default: true)

Example

$ roq-reduce \
    --symbols "^BTC-USD[T]?$" \
    --output_path smaller-event-log.roq \
    ~/var/lib/roq/data/coinbase-pro-public.roq