Question About Level-3 Backtesting and Order Book Generation

[EthanXHQ]

Hi there!

I have a question regarding Level-3 backtesting and generating the order book from tick-by-tick Level-3 feed data. Since Level-3 feed data is tick-by-tick without snapshots, I am struggling to construct the order book.

Here is my setup:

I am using data from Databento, specifically the MSFT dataset.
After feeding this data into the project, when I run print_bbo(hbt), the output is empty.

I tried to mimic the sample data by adding some historical data at the same timestamp before the market opens, hoping it would help generate the order book. However, this approach has failed so far.

If you're interested in how I handled the MSFT data, I've attached it to this discussion. Could you please shed some light on how to properly construct an order book in this case? Any insights or suggestions would be highly appreciated.

Thanks in advance!
handle_stock_data.pdf

[nkaz001]

Please see #226