In Limit Order Books, orders at the same price are grouped and I call this group of orders a "price level"(I don't know if there's a name in literature).
The total volume in this price level changes in time when aggressive trades occur or new orders are added to the price level.
At some point in time, the TOB will be consumed completely and removed from the LOB or a better price enters the LOB and it becomes the new TOB.
Is it possible to model the volume of TOB of a stock as a stochastic process? Actually, I wonder if it is possible to forecast if the TOB price will be consumed completely in a short period of time...

Thanks in advance


1 Answer 1


Similar to the weighted mid, look at the size of the top bids and asks. ("Volume" refers to trades; quotes have "size".) Using historical data, you can determine the likelihood that the price level changes $X$ seconds later for a given size ratio.

For example, I may see that the level has a 10% chance of changing within 30 seconds when the aggregate size of the bids is 4 times that of the asks, and a 50% chance if the ratio is 40.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.