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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240 views

Disclosure of the liquidity provider identity in ITCH

If you look into the description of Nasdaq ITCH data, you see two types of order entries in the book: Message of Type A and F. Under type F, you will see the identity of the market participant (MPID). ...
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1answer
88 views

What is the current state of microstructure/order book analysis?

I know it's a broad question, but I'm curious as to the current state of microstructure analysis, specifically whether there's anything 'actionable' that people have discovered. Would also be ...
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1answer
249 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
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1answer
120 views

Change of order size

For example I am put a limit order of size 10 at top bid. moments later, my algorithm detects we should have size of 50 here. So we request a update on this order. My question is, will we lose the ...
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1answer
42 views

Order Book vs Wallet Updates

Good morning, i am in the middle of developing my own stock exchange system and have implemented limit orders (basics) matching. The system is just a DIY solution for my own purposes and for fun ...
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0answers
25 views

How do you call this order matching process in trading?

for example, in the order book ASK side has this orders (price/qty): 20000@2000 20500@400 and trader sends FOK: 50000@2100 (price/qty). it can be two scenarios here: 1) FOK can take 2000 from the ...
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0answers
42 views

Are there good off-the-shelf coding implementation of trade classification algorithms?

Including Lee Ready and bulk classification methods, as well as any other method. To be clear, I'm asking for code, not just a description of the algorithm.
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51 views

Java limitbook implementation? [duplicate]

I am looking to create my own front-end. What is the best data structure/java swing object to represent a limit order book? currently I am using two JTables and loading best bid and qty data from a ...
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1answer
834 views

What is a resting limit order? [closed]

What exactly is a resting limit order? I could not find a definition on Wikipedia or Google.
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1answer
447 views

Order book depth views preferences: order-by-order vs. total aggregated volume by price levels

Which is best? Or is it irrelevant? Hi! Considering Level 2 Data (Market Depth), I want to understand the advantages to have all the order book on an order-by-order basis (or tick-by-tick basis) ...