Real-Time Trading Data Extraction and Analysis

I need to set up an automated process for extracting order book (DOM) data from a trading platform for key assets like USD/JPY, Oil, Gold, GBP/USD, NASDAQ, and EU/USD. This data should ideally come from platforms such as CQG, Sierra Charts, or Denali, but I am open to any other reliable platform that provides excellent DOM (Depth of Market) data.

The extracted DOM data (buy and sell volumes) should be fed directly into a script running in Visual Studio Code (VSCode) for further processing. The objective is to calculate buy and sell volumes, determine the total volume, and then calculate sentiment by computing the buy and sell percentage volumes.

Requirements:

Platform Setup and Integration:

Set up a reliable connection to a trading platform (preferably CQG, Sierra Charts, or Denali) to access DOM data for specific assets.
Extract real-time order book data, focusing on buy and sell volumes at various levels.
Data Extraction and Processing:

Extract the bid (buy) and ask (sell) volumes from the DOM data.
Calculate the total buy and sell volumes.
Determine the sentiment as a percentage ratio of buy versus sell volume.
Data Transfer to VSCode:

Stream the processed data (either JSON or a similar structured format) directly to my VSCode script, where I can further analyze and utilize the information.
Expected Output Example:

The output should look similar to the example from Binance's API (for reference):

javascript
Copy code
{
"symbol": "GOLD",
"buyVolume": 1000,
"sellVolume": 1200,
"totalVolume": 2200,
"sentiment": {
"buy": 45.45, // (buyVolume / totalVolume) * 100
"sell": 54.55 // (sellVolume / totalVolume) * 100
}
}

I would need guidance from the start to end on how to set up and of course costs of platforms will be handled by myself.