Questions tagged [limit-order-book]
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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How to understand microprice (aka, weighted-midprice)?
The definition of micropice is S=PaVb/(Va+Vb)+PbVa/(Va+Vb), where Pa is the ask limit-order price and Va is its volume, and similar for the bid Pb and Vb.
The typical explanation for micropice is ...
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How is market buy order executed when meeting both market sell order and limit sell order?
Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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Translating Order books accounting for fees
I am trying to understand how fee structure plays into how I should best execute a trade.
Say there are two exchanges with the following order book:
Exchange A:
Bid Qty | Bid Price | Ask Price | ...
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Probability of getting a fill of a given size
Question is quite simple, what is the probability of getting a fill for:
(i) a limit order of size - $s$
(ii) that is $\Delta$ away from the mid-price
(iii) in the next $t$ minutes
given ...
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2answers
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How can one effectively approximate the fill portion of a limit order in a FIFO order book given it's recent state?
What methods could one use to find the step wise probability of a partial or full fill of an order in the best ask/bid level of a limit order book given the historic best ask and best bid quantities ...
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Does EFP (Exchange Futures for Physical) Involves Cash Exchange?
I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link),
An Exchange for Physical (EFP) is a transaction involving the
simultaneous exchange between two ...
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1answer
63 views
Does adverse-selection have a time-frame associated with it?
When my limit order gets filled, the price almost always moves against me due to adverse-selection. However, given 'enough' time the price may yet move back in my favour.
Has there been any study ...
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Standard ways of simulating order books
What are some standard simple ways of simulating an order book? I have found this paper, but it is missing the implementation details. And more importantly, it appears that it ignores the size of the ...
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1answer
46 views
Function price output hops around sometimes due to rounding
Say we have a function for estimating the fair price of a security. The function gives outputs rounded to the nearest 0.5 (that is, the raw output is not a rounded float, but can have a decimal part ...
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1answer
81 views
How do you interpret Level 1 data to a list of transactions/trades?
If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so?
Just FYI, it's not a project for school but a problem I ...
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continuous stock price
I wonder what would happen if the stock price becomes continuous? I am thinking that if that happens, everyone just places a limit bid order just above the original best bid order or limit sell order ...
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1answer
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Algo trading execution simulation
Disclaimer: Brand new to high frequency algo trading.
Background:I have tick-by-tick trade data for stock A and I have joined the price and volume data for each trade with the previous snapshot of ...
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Modelling HFT data
In the context of Market making, how important is recent trades? In general, would i be able to get away with just modelling the Limit Order Book (LOB) and the evolution of the LOB in order to ...
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Crossing the spread as a ML signal
In the optic of high-frequency trading, most of the standard trading algorithms work on the principle of mid-price prediction or mid-price movement prediction. However a big drawback of this technique ...
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0answers
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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 ...
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1answer
241 views
Limit order book cancellations
Is there any practical and academic interest in predicting which orders in a limit order book will be canceled?
From a policy point of view are people interested in detecting potential spoofing ...
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1answer
333 views
Limit and Market Order for training a ML model
Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable.
For the current question, assume the labels are well ...
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326 views
Market Maker portfolio management
I am interested in articles/strategies related to portfolio and inventory management for market makers and to management of order cancellation, updates of order, etc.
Most of the strategies from ...
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1answer
115 views
How do orders outside of the market clearing level affect price?
Let's say a trader is trading in a LOB and he places an order deep in the book. How close can he be to the touch until he has temporary or even permanent price impact? This assumes he cancels after T ...
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1answer
563 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 (...
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1answer
133 views
What are good papers on order book dynamics?
I want to simulate a limit order book. For this I want a statistical model to model arrival of orders in the exchange. I would be thankful if anyone can point me in direction of relevant literature.
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2answers
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Does all (or any) exchange eats the positive difference between a buy order and a ask order?
Say Alice asks for 100 for 5 stocks, Rob asks 101 for 5 stocks.
Bob really wants to buy the stocks, so he bids $101 for 10 stocks.
Does Bob actually pays 100 * 5 + 101 * 5 + fee, or 101 * 10 + fee?
...
2
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1answer
1k views
Real-time limit order book data of desired depth
Is it possible to get real-time NASDAQ limit order book data feed somewhere?
I would need a stream of the limit order book data, preferably something similar to:
Along with the respective events ...
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2answers
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Limit order book - does it get wiped over night?
Let's say we have a look at the NASDAQ's limit order book. We do have a bid side and ask side levels.
Does the limit order book get wiped over night? Meaning everything which is not executed is ...
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1answer
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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 ...
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What is the proportion of aggressive orders vs passive orders executed by different types of traders?
It's clear that each aggressive order (or market order or limit crossing BBO) is matched against the same volume of resting limit order(s).
I'm interested in statistics per different types of ...
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1answer
159 views
Metrics for Measuring Intraday Activity
Using intraday data, are there certain measures that exist for measuring the "activity" of a particular instrument. By intraday data I mean, all changes to the limit order book (trades, adds, cancels, ...
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943 views
How does one calibrate lambda in a Avellaneda-Stoikov market making problem?
In market making models derived originally from Avellaneda-Stoikov, there is a function lambda that represents the arrival rate of orders. In its prodigy, there are different representations of lambda,...
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114 views
Why is limit price order been executed with a worse price?
recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message".
For example, first there is an Add Order ...
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2answers
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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 ...
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4answers
114 views
Stop Orders - Force a Sale?
In Hull's Options, Futures, and Other Derivatives 9/e, p39, he states
A stop order or stop-loss order also specifies a particular price. The order is executed at the best available price once a ...
4
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1answer
630 views
Model reference price of Limit order book
first of all, the description of this Stackexchange forum says its for professionals or academics. I'm doing a lot of self studying and with that I was able to understand some white papers but still I'...
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Is it possible to place hidden order inside spread when trading E-mini S&P 500?
My question is not about hidden orders in general. In equity market a trader can post his hidden order inside spread, is it the same way for E-mini S&P 500?
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2answers
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What are flickering orders?
I am reading a paper for my bachelor thesis, Queuing Uncertainty in Limit Order Market by Bart Zhou Yueshen who is the new AP at INSEAD.
In the abstract, the author said: "Flickering orders manifest ...
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5answers
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Estimate probability of limit order execution over a large time frame
I have a negligible amount of money (\$5000) that I would like to invest in a stock. I would like to buy the stock at some point in the next year, and get the lowest possible price.
I would like to ...
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1answer
403 views
Order flow intensity
I am interested in how to calculate order flow intensity. I got access to high frequency data and can simulate a limit order book. What is the best approach if I want to calculate order flow intensity?...
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118 views
Are there good off-the-shelf coding implementation of trade classification algorithms?
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.
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Avellaneda/Cont model Order Book Model
The model given in the following paper by Avellaneda et al
http://people.stern.nyu.edu/jreed/Papers/limitorder.pdf
On page 7 he explains that the initial Bid and Ask size should be normalised by ...
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2answers
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Order Book Dynamics
I have been following this paper:
Price dynamics in a Markovian limit order market, by Rama Cont and Adrien De Larrard
The model is especially pertinent as I only have access to L1 data.
The model ...
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1answer
268 views
What is the current state of microstructure/order book analysis?
I know it's a broad question, but I'm curious as to the current state of microstructure analysis, specifically whether there's anything 'actionable' that people have discovered. Would also be ...
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2answers
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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. ...
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1answer
177 views
how are gaps usually handled in market data received with multicast?
Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the ...
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0answers
603 views
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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2answers
2k 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, ...
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3answers
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Latency and Delays across Exchanges
I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
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2answers
342 views
What are “Autoquotes”?
I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
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1answer
86 views
Order Book vs Wallet Updates
Good morning,
i am in the middle of developing my own stock exchange system and have implemented limit orders (basics) matching. The system is just a DIY solution for my own purposes and for fun ...
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1answer
793 views
How is the Order priority of an Iceberg order decided?
Typically, markets guarantee a FIFO order of priority of execution for various orders at the same price. I want to know does this hold true for Iceberg orders?
for eg Order1 = Buy 100 Quantities @ 2 ...
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2answers
475 views
How important is the limit order book?
I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE.
For example, when we talk about the volume traded during the day, what share of that volume has been ...
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3answers
460 views
Executions deep in the Limit Order Book?
I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask.
For example, ...
