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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207 views

Mid-Point calculation with execution probability

Referring Cao, Hansch, and Wang (2004) "The Informational Content of an Open Limit Order Book" $$ \mbox{WP}^{n_1 - n_2} = \frac{\sum_{j=n_1}^{n_2} (Q_j^d P_j^d + Q_j^s P_j^s)}{(Q_j^d + Q_j^s)} $$ ...
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More cache friendly linked list or alternative with optimal append, delete, and ordered traversal for limit order book?

I am trying to implement a stock matching engine/order book in C++, and am searching for a more cache friendly architecture. Currently, my data structures are as follows: An intrusive rb-tree for the ...
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67 views

Adjusting for your own orders in future backtests

I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer. Suppose you have a strategy you are running where at certain ...
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25 views

Are limit orders mostly being matched by market orders?

When going over order book data, most limit-order executions look similar to the following: ...
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129 views

Book chart plotting library identification

can you help me identify how those charts are constructed? To your knowledge, is it generated from Python, R, Java, C++? What packages can you identify? I've tried the ggplot2 library in R and I have ...
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Why Doesn't my Limit Order Appear in the Order Book?

I'm curious as to what makes up the Bid/Ask book. Any limit order I place seems to be disregarded. Shouldn't the limit orders I place have an impact on the Bid/Ask book and be reflected when it ...