Questions tagged [orderbook]

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Futures: how is the orderbook computed?

I'm interested in CME futures, for example the SP500. And I wonder if the orderbook is just an aggregation of STOP and LIMIT orders? For example the following fictive orderbook: ...
Bertrand125's user avatar
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Stock trading data across multiple vendors interview question

I had the following coding question in a quant shop interview recently. I have no experience with quant finance, so I was hoping to get some insight on if this problem actually represents some real ...
user70981's user avatar
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FREE historical limit order book tick data with decent depth

This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE. It does not have ...
Xerium's user avatar
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Order book question

This is a really simple question but I can’t figure it out. I was given this definition for trades in an order book. “A bid and an offer whose prices are the same or cross will pair, resulting in a ...
Jackson's user avatar
2 votes
1 answer
233 views

How to test an orderbook using real data

I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
cocode's user avatar
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Dark Pool Midpoint Order Matching

From what I understand, orders in some dark pools are typically matched at the midpoint price, and matching prioritized in size, price, time. Market orders execute at the midpoint. Limit orders ...
123 abc's user avatar
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How do we relate time-horizon with reducing inventory risk in the Avellaneda-Stoikov model?

On the Avellaneda Stoikov Model we have the following definition of reserve price: This means that when q > 0 and the market maker has a long position, the reservation price decreases. So there is ...
nato96's user avatar
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2 answers
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Orderbook Liquidity Parameter Avellaneda Stoikov

I am trying to implement Avellaneda & Stoikov (2006) model for HF market making on L2 orderbook data. Most parameters are straight forward but I am struggling with the orderbook liquidity ...
raffaelo92's user avatar
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Backtest: Fast Reconstruction of Order Book using Order Creation/Completion Data in Python

I am looking for a quick way to reconstruct the order book at the time of each new limit order creation. The data I have is order creation and completion: OrderID time_created time_completed price a ...
Dumberc's user avatar
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2 votes
1 answer
571 views

Limit Order Book disaster recovery technique

I have designed a fast limit order book, similar to the one described here. It is working and passing the unit tests. Now, I am thinking of its reliability. i.e in case of failure (e.g unhandled ...
M. Saqib Arfeen's user avatar
3 votes
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247 views

Known methods for big order detection

I have an access to the order book from stock market and i am interested in finding an anomalous behaviour. What are the known methods, algorithms for detecting big orders or other activities of ...
mkultra's user avatar
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Interpreting an Order Book (example Kraken.com)

An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
bliako's user avatar
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Stock market simulator coding problem

I'm working on a coding problem that I was given for simulating a stock market simulator. I don't really know anything about the stock market, but the instructions state that stock market domain ...
westcoaststudent's user avatar
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1 answer
165 views

How should Aggressive Limit Orders be Processed in a Limit Order Book

I am a little confused about how orders get processed in a limit order book, hope to get a better understanding with this post. If we start off with an order book ...
Athena Wisdom's user avatar
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Modelling the Order Book

For every country, there are Regulators who monitor and regulate the activities of Stock exchanges etc. Do those regulators also monitor Order books of those exchanges? Do they monitor real time? or ...
Brian Smith's user avatar
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1 answer
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Exchange order matching system/core for local testing

I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core). I remember, that I have seen on GitHub repo, ...
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OrderId data type is double in tick by tick datafeed

I am going through multicast protocol for tick by tick data of national stock exchange(NSE, India) and the orders are uniquely identified by orderID and they have defined it to be a double datatype. ...
user22662's user avatar
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1 answer
637 views

Difference between IOC and FOK orders

I am trying to understand the difference between FOK and IOC orders. If I send a market FOK or IOC order to sell 100 shares of StockX - what would happen if the orderbook looked like this? ...
assangar's user avatar
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3 answers
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Order Replacement Trade-off for a Market Maker

Whenever we replace an order, we lost priority since we are added to the end of the queue. If we dont replace an order, there is an obvious chance that we might get picked. There are other situations ...
nimbus3000's user avatar
3 votes
3 answers
304 views

Pegged Orders Positioning

I have a strategy that involves being first in the order queue in a tight market where the tick can change from bid to ask or ask to bid by one tick. I am looking at pegged orders so when the bid ...
Nivvii's user avatar
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Revealed liquidity in latent limit order book

It is stated in the LLOB model (i.e. this paper, https://arxiv.org/pdf/1105.1694.pdf ) : Our basic idea is that of a “latent order book” that at any instant of time t aggregates the total intended ...
mbz0's user avatar
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1 answer
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Estimating the spread of a market maker

If we have an order book and we assume that we know there is only one market maker, how can we determine exactly the spread of the market maker? What if there are more than one market makers?
Pepino's user avatar
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How does a Stock Exchange Provider implement a Stop-Loss Order?

If I place a stop loss order at my provider. Is this order directly forwarded to the stock exchange? Or does my provider implement this logic. If so, do they have to declare any delays that arise by ...
hpc64's user avatar
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2 votes
2 answers
222 views

Order anticipation

Is there a way to anticipate order flow on a security. For simplicity's sake i'm referring to a security that is traded on one exchange and has a single order book, by anticipating order flow i mean ...
BlackStar's user avatar
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1 answer
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how to calculate/retrieve the number of sell orders (and buys orders as well) to detect iceberg orders

As a manual trader, i could identify the iceberg orders because my interface provided me in real time the number of buys and the number of sells at best ask and best bid. For instance, when the ...
gilhop's user avatar
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1 answer
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Orderbook db structure

I am currently saving a sub 1 sec snapshot of an orderbook to my SQL db. However I have quite the trouble on figuring out the architecture of this DB What I'm currently doing is saving a table with ...
QuantKan's user avatar
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1 answer
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Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
Owen B's user avatar
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4 votes
3 answers
173 views

Would it be fair an exchange where priority in the order book is the fee paid per share in the order?

Instead of matching orders in the order book by price then time, what are the consequences if orders are prioritised by price then fee paid per share in the order? An idea similar to the way ...
Afe's user avatar
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3 votes
1 answer
524 views

How to identify buy walls and sell walls from a limit orderbook?

I am trying to get notified of buy walls and sell walls from a limit orderbook and I had a couple of ideas and would appreciate some insight into these Take the mean quantity and anything above the ...
PirateApp's user avatar
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1 vote
0 answers
51 views

How to debit user balance on market buy order?

Suppose that the user's balance is debited before his order is sent to the matching engine. The debiting is done to ensure that the user has sufficient balance and that he is not submitting orders ...
Soggiorno's user avatar
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10 votes
1 answer
2k views

How do I convert order book data into OHCL( Open,High,Low,close) format?

The image represents the order book data with columns having following attributes: a0: Best ASK price (i.e. the lowest posted price at which someone is willing to sell an asset) b0: Best BID price (...
Vijay Kumar's user avatar
2 votes
0 answers
52 views

Precise calculation of the last price

This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise. Let's assume there is a ...
freistil90's user avatar
1 vote
1 answer
129 views

Question about order book and single player interference

Let us suppose I have 1 Million US Dollars, and I am given an ask value of 0.45 USD per share in a given share. Let us call it MRD3. If I place an order of the type bid, in which I offer only 0.01 USD ...
Kasper L's user avatar
2 votes
0 answers
59 views

Are there any exchanges which match orders in timed intervals?

When an exchange works with an electronic order book and a matching engine, it usually tries to match orders in realtime during trading hours. That means when a new order comes in, it tries to match ...
Daniel S.'s user avatar
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-1 votes
2 answers
90 views

Locked/crossed prices in US equities

I'm trying to build a consolidated LOB from several direct feeds. However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
Michael's user avatar
3 votes
1 answer
172 views

What approaches are there for keeping local and remote order books in sync?

Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
Den's user avatar
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2 votes
2 answers
237 views

Order book size limit

I am trying to find out if exchanges impose limits on the total number of orders which can be in an order book at any one time. Does anyone know of examples of these order book size limit policies. ...
Francis Stephens's user avatar
7 votes
2 answers
3k views

Order Execution Algorithms

To execute large orders under minimum price impact or to hide a market view, trading systems sometimes utilize special order execution algorithms or order types. One example is an iceberg order, ...
emcor's user avatar
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1 vote
2 answers
362 views

TAQ NYSE OpenBook

Where can I get/buy the TAQ NYSE OpenBook for specific stocks on specific days? I don't need a whole year of all stocks. I just want to enter a day and a stock, so I can download the order book data ...
Markus Selinger's user avatar
6 votes
3 answers
896 views

What is the correct / expected behavior for a market order sent to an empty book?

Should it stick around until liquidity shows up? (GTC) Should it cancel any size for which there is no liquidity? (IOC) Is there such a thing as Market GTC or Market Orders must always be IOC?
chrisapotek's user avatar
4 votes
0 answers
1k views

Where do i find the trade execution priority rules for special order types on continous auction markets

I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
Thomas Bosman's user avatar
2 votes
2 answers
307 views

Where do these Orders come from and what do they mean?

Good morning! I was looking at an order book yesterday and saw orders which I haven't seen before. Normally an order in the order book consists of the total volume, the price and how many sellers/...
L.Butz's user avatar
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6 votes
1 answer
508 views

Growth of Order Book size during day

I am trying to find market-structure research on how the size / depth of the order book changes during the day for equities. I would expect it to get deeper and deeper and bigger and bigger ...
UmaN's user avatar
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