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What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for software help? I've not found anything off the shelf, but I'm curious if others in this community might know of something. My preference is for free/open source that are available for R or Python, but commercial tools are acceptable as well. My wish list would look something like this:

  • Order book visualization. Show the bids and asks in standard book form.
  • Order by order or level aggregation.
  • Order tracking through time.
  • "VCR style" controls that allow one to easily scan through the book across time.
  • Multiple venue support. Depth of book data from more than one venue is maintained as a separate book for a given instrument, but an aggregated "virtual" book can be displayed.
  • Descriptive statistics could be calculated across arbitrary time periods (# of orders added, deleted, etc.

Any suggestions on tools that might help in this type of analysis are welcome as are suggestions of features not listed here but that are provided by software packages available today.

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6 Answers 6

up vote 9 down vote accepted

I don't know why it was removed, but the R package "orderbook" was available:

http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf

http://cran.r-project.org/web/packages/orderbook/index.html

In the IBrokers package, the function "reqMktDepth" is used for streaming order book data.

http://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf

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I think this is the package limitob. Perhaps they just renamed it? –  Louis Marascio Sep 9 '11 at 15:25
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@Louis, Same authors, same general description, you're probably right. –  bill_080 Sep 9 '11 at 15:30
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I'm out of votes, but never fear I won't forget and will vote up your answer in a few hours. –  Louis Marascio Sep 9 '11 at 15:36
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So one such visualization package is demonstrated in http://www.tradeworx.com/movie/booklet_demo/temp/booklet_demo2.mov. AFAICT it looks like a tk script.

Trading Technologies (TT) sells another visualization tool. But TBH writing your own tool takes a few hours and allows you to focus on what information you are interested in finding.

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Nice link, thanks for sharing and welcome to quant.SE! I agree, building your own is not that hard, but I'm always interested to see what exists out there to get ideas. This is the best visualization I've seen, and the features for moving through the day are very nice. –  Louis Marascio Sep 11 '11 at 12:21
    
If you enumerate your requirements, I'm pretty sure the quant.SE group could put together a nice viz that rivals the other apps :) –  Foo Bah Sep 11 '11 at 14:03
    
+1 - great link. –  Ryogi Oct 18 '11 at 19:57
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http://lobster.wiwi.hu-berlin.de/forum/viewtopic.php?f=4&t=30

R code, pictures and discussion, it's easy to modify it

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I came across B/View which is a Java application that visualizes the order book for a single stock on a single day. It encompasses some of the basic features I would expect in such a tool. It appears to be more a demonstration than a general purpose tool.

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Take a look a EclipseTrader.

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Thanks for the link, but I don't think this really fits what I'm looking for. I'm more interested in a tool for exploration of the order book, not a trading platform. –  Louis Marascio Sep 9 '11 at 0:56
    
Eclipse Trader is only an terminal, you need to connect it on a trade plataform in order to see the market data ( level one and level 2 ) –  Clebson Derivan Sep 14 '11 at 19:09
    
I have plenty of data. What I need is a tool to help me explore it. –  Louis Marascio Sep 14 '11 at 21:12
    
Louis, there are some brokers here in Brazil using EclipseTrader as front end to offer market access, take a look: tryd.com.br/tryd.php –  Clebson Derivan Sep 15 '11 at 10:33
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There is a new Order Book visualization tool, called BookMap: http://www.youtube.com/watch?v=1c6HegAn-CA

It allows to trade and simulate trading in real-time or replay mode. The replay mode is free to use. enter image description here

BookMap is the only tool, that visualizes the history (evolution) of the order book. (the first version will be soon in production)

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