How to convert realtime quote data to order book using polygon.io

Question

I used polygon.io for market data access and use a this endpoint: https://polygon.io/docs/stocks/ws_stocks_q This is a realtime quotes data stream.

Example quote from this endpoint is

[
   {
      "ev": "Q",
      "sym": "AAPL",
      "bx": 11, // Bid exchange ID (what's this?)
      "ax": 12, // ASk exchange id (what's this?)
      "bp": 136.11, // Bid price
      "ap": 136.21, // Ask price
      "bs": 1, // Bid size
      "as": 4, // Ask size
      "t": 1656675354345, // timestamp
      "q": 719290, // Not documented field
      "z": 3
   }
]   

How to build order book from this data? It's really? May be another ways exists?

Answer 1

It would be best if you said precisely what you want.

An order book is a list of orders for a specific market, recorded by an exchange to measure market depth and interest from buyers and sellers. Order books are often used by traders to identify market sentiment. that is usually made by a broker or exchanger.

tell more description for resolving your problem.