The prioritized list of resting orders held by the exchange. Each limit order represents an obligation to buy or sell. The most common type of order book is prioritized first by price and them by time. Another variation is the price/size book, where larger size results in higher priority.
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1answer
128 views
What exactly is an ISO order?
I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
2
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1answer
230 views
Does DOM trading using broker data make any sense?
Can I use DOM information from Interactive Brokers? Does it make sense?
I assume that it makes sense to apply some volume based algorithms only then when you know this order book, that you can get ...
1
vote
1answer
113 views
PIQ estimation for FIFO limit order book
Assuming that one doesn't have any kind of priveleged data feed (i.e. info is depth of book and volume executed at bid and ask), is it inherently easier to more accurately estimate position in queue ...
1
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1answer
364 views
Calculating true value of a stock given the order-book and recent trades
I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
2
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1answer
92 views
Limits analysis
I have a few time series of models to analyse in terms of how far/close they are to their underlying limit. The limit is a simple value on the y-axis (always positive), and the series can act ...
5
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1answer
350 views
Why would a trader quickly flicker an order immediately preceding a tick away?
The Setup
Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; ...
3
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2answers
172 views
What does ABBO (Away best bid and offer) refer to?
I know what the NBBO is but I've seen mention of ABBO and I'm not sure what it means?
5
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1answer
755 views
What is an efficient data structure to model order book?
What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity ...
2
votes
1answer
572 views
how do we estimate position of our order in order book?
how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in ...
4
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1answer
224 views
What is a good source to learn the different nuances of electronic orders and their nature?
Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...
6
votes
2answers
817 views
Non-SQL methods for high-frequency accounting?
Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
7
votes
3answers
772 views
Limit order book size
I am trying to write a highly optimised limit order book and I wondered what sort of size I can expect for:
Range of limit prices
Number of orders at each limit price
I am developing custom ...
10
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3answers
1k views
How are limit orders selected from the order book?
I'm sure there is a simple answer to this but I haven't had any luck with searches. I'm just wondering when someone places a market order which order(s) from the limit order book are selected to fill ...
7
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1answer
372 views
What techniques are used for testing order book implementations?
I am finishing the implementation of a limit order book for modeling NASDAQ. The order book works off of the ITCH feed. My question is what techniques are typically used for testing order books. I am ...
14
votes
5answers
2k views
What tools exist for order book analysis and visualization?
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 ...
11
votes
4answers
2k views
Implementing data-structures in a Limit order book
I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance.
Using F# as an example, I need to consider a List versus Array for ...
11
votes
3answers
2k views
Control for bid/ask bounce in high-frequency trade data?
The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It introduces a systematic bias to the data which can cause serious problems in analysis.
What methods ...
7
votes
3answers
1k views
Order submission strategies of a rational market maker?
Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread.
Assume furthermore that he has no current inventory in the stock A. To ...
5
votes
1answer
660 views
A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
11
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3answers
571 views
What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so?
What would you ...
