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.
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 ...
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 ...
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 ...