I have a question posted here regarding what is common knowledge with regards to handling a relatively common non-homogeneous data stream (time & sales and level 2 data from an exchange) that is currently closed for, to my knowledge, not being focused enough.

I have been attempting to modify/submit this question for re-opening, but have not quite had it approved yet.

I am looking for advice on what could be changed in this question to reflect my intent in a more focused manner which is to gather input on if there any common best practices to handle level 2 + trades data streams from an exchange such as a form or structure to express it in that is relatively industry standard/common knowledge/conducive to modeling, but before anything proprietary is done as I wouldn't expect this information.



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