add mexc

[calumrussell]

Adds util for MEXC WS spot data feed.

Feed has change and depth snapshots. I wasn't clear if I need DEPTH_SNAPSHOT_EVENT here or what that event does?

I see that initial_snapshot is an optional argument to the backtest, but I am unclear how the backtest works if I don't provide initial snapshot?

Thank you for your hard work on this.

[nkaz001]

If the initial snapshot is not provided, market depth reconstruction relies entirely on natural refresh, where the depth is updated by DEPTH_EVENT starting from an empty book. As a result, it will take some time to reach a certain level of completeness.

Also, DEPTH_CLEAR_EVENT is used to clear all or multiple levels of market depth. To remove a specific level (or update a level to a quantity of 0), use DEPTH_EVENT with a quantity of 0.

[calumrussell]

I think that fixes, intention is:

• If the feed has snapshots then we use DEPTH_SNAPSHOT_EVENT to update from these
• Single levels are cleared when the diff feed updates with zero

[nkaz001]

Looks good. By the way, have you checked if the processed data is correct? I wonder if you could upload a small sample file to test with? MEXC and Hyperliquid?

[calumrussell]

Added examples for both.