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.
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.
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 ...
What exactly is a resting limit order? I could not find a definition on Wikipedia or Google.
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) ...