The order tag has no wiki summary.
2
votes
3answers
192 views
Is it worth preserving orderbook structure when building it from individual orders?
Say I'm building an order book and two bids come in at price $p$ and volumes $v_1$ and $v_2$. Which option is better
To store the order as $\{p, v_1+v_2\}$ or
To store the order as $\{p,v_1\}$ and ...
1
vote
2answers
267 views
Order and position management in (semi-)automated trading system
A simple and lazy approach to implementing an order and position management (OPM) component in a (semi-)automated trading system: leave most OPM to counter party (broker/exchange). Even then funds ...
1
vote
0answers
145 views
Data feed that shows individual orders
Does anyone know how I can obtain time and sales data for a stock?
Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.
I ...
