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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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Constant cancellation model for volume of LOB queues

I have been reading Jean-Philippe Bouchaud's book on stochastic models of LOB queues in Chapter 5, which starts with the simplest model. In this model, market/limit/cancel orders are assumed to be of ...
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Market make when the orderbook has very few orders/volume in it? (price is stable at $10) [closed]

Imagine a stock that's very unpopular, to the point where there'll only be on average 4 units of the stock at any given moment in the orderbook. This stock is also stable at a price of \$10 (meaning ...
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What program should I use to handle large high frequency data?

I am going to do research about exchange. For this purpose I get daily data for all stocks to reconstruct order book. I have data on 900 trading days. Each day have data about ticker, timestamp, ...
rallen2lk's user avatar
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Avellaneda High-frequency trading in a limit order book

From the paper, High-frequency trading in a limit order book, (Avellaneda, 2006), from equations (16) and (17), the reservation price is given by $$ \begin{aligned} \theta_t + \dfrac{1}{2} \sigma^2 \...
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Are there initializing snapshots to include all order IDs in LOBSTER sample data?

I've implemented a L2 order book handler based on the classic blog post I'm sure everyone has come across when researching this topic! I've used the message files from LOBSTER sample data as input and ...
sam42's user avatar
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Implementing Queue Reactive Model using L2 data

I've been reading through the Queue Reactive Model paper, and wanted to implement it in Python. I have clean L2 data in the form below (over 450k events for one stock one day), with a timestamp, the ...
IGottaLearnMath's user avatar
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Understanding the calibration of High-frequency trading in a limit order book

I am trying understand and replicate this thesis, which is based on, High-frequency trading in a limit order book by (Avellaneda and Stoikov, 2008) and Optimal market making, by Olivier Gueant, 2017, ...
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Where can I find live order book data for crypto with paper trading feature on the cloud for $50-$100 a month?

We're a startup creating an algorithmic trading bot for cryptocurrencies and looking for a website where we can fetch live, not historical limit order book (LOB) data for up to 100$ a month. I'd like ...
Deka Halane's user avatar
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62 views

One timestamp snapshot of Level 2 LOB NASDAQ 100 companies

I am in academia, doing some research for which I would need Level 2 LOB data for the companies in NASDAQ-100 at one given timestamp, I just need one snapshot for the 101 companies in NASDAQ-100. Do ...
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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 ...
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How to model the imbalance to predict in different timeframes?

As widely shown in this forum and in the literature, the order book imbalance is empirically a good predictor of the market move. However, even though the calculation of the imbalance is very straight ...
sandstorm111's user avatar
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Reference for Aggregated Temporary Price Impact

I am wondering if someone knows relevant literature on the joint temporary price impact. The temporary price impact here refers to the difference between the best ask/bid price and transaction price ...
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Latency (market updates) and link to market efficiency

In the book by Lehalle and laruelle - "market microstructure in practice" - "The trading activity of HFT updates limit orderbooks at a higher rate than the round trip for any non-...
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Trade Impulse signal

https://blog.headlandstech.com/2017/08/03/quantitative-trading-summary/ In reference to the link, under Market Microstructure Signals, the so called "Trade Impulse" signal was mentioned . ...
emptydoubleu's user avatar
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Multi level micro price

Typical micro price formula uses the top of book depth (i.e. level 1 depth): Microprice = (BidSize x AskPrice + AskSize x BidPrice) / (BidSize + AskSize) But how does one actually include more depth ...
emptydoubleu'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
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Queue Reactive Model for large spread assets

Im working on the implementation of the Queue Reactive Model by Lehalle (https://arxiv.org/pdf/1312.0563.pdf), but I have encountered some implementation problems for my specific assets. First, the ...
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Lopez de Prado Advances in Financial Machine Learning- entropy for adverse selection

In chapter 18: Entropy Features, Lopez de Prado discusses how entropy can be used to estimate adverse selection. He suggests a method where order imbalance is mapped to quantiles and entropy is ...
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How to tell when a vector (9-tuple) changes structure over time?

I have a 9-element vector I compute at any time T that is derived from the state of the order book. I plot the elements over time and get something like this: I'm interested to see when the nature of ...
nxtronic's user avatar
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181 views

Estimate of realized spread

Given a dataset with second level information about open, high, low, close, volume and vwap of a stock - how can one estimate the realized spread - a simple estimate could be (high - low)- but can one ...
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Limit Order Book modeling

Does anyone know where to find an example of LOB modeling in python? I would like to create machine learning model to predict mid-price.
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How to add depth (volume) to order book plots?

I wonder how one could plot bid/ask volumes along with the prices as shown below: Another example is: To be more specific, I want to ask how to plot volume for each price level as some sort of ...
autoencoder's user avatar
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Delta across futures markets vs respective micros

I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
Ali Ragb's user avatar
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Target variables in high frequency trading [closed]

Given that we are a market taker (removing liquidity from the limit order book through market orders), what should we be trying to forecast? It seems like the most pertinent thing for us to forecast ...
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How are order book and trade data consolidated/distilled into a more(?) tractable form for modeling?

Let's say that there's some asset traded on an exchange and that, for this asset, I have access to a snapshot of the limit order book (price level and quantity for bids and offers) and subsequent ...
QMath's user avatar
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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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Modeling orderbook shapes as distribution

What are different distribution models typically used for generating orderbooks under high volatility, illiquidity, and multiple exchanges with different fees?
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Order Flow Imbalance calculation

I was wondering if anyone could help me understand Figure 2 Rama Cont's Price Impact paper? It is on arxiv as well. In Figure 2 (screen from arxiv version), they demonstrate how to derive change in ...
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Micro Price vs multi-level micro price

Why do we use the micro price $$p_m = \frac{B_{\text{size}} A_{\text{price}} + A_{\text{size}} B_{\text{price}}}{ A_{\text{size}} + B_{\text{size}}}$$ rather than fixing $A_{\text{size}}$ and $B_{\...
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Screening Market Order - Limit Order Books and Modeling

I am reading the paper "A statistical theory of continuous double auction". The paper can be found at, https://www.santafe.edu/research/results/working-papers/statistical-theory-of-the-...
Ramesh Kadambi's user avatar
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Dealing with the Inventory Risk (Lehalle, Gueant, Tapia): Delta T parameter and actual order duration

Reference paper: Dealing with the Inventory Risk (Lehalle, Gueant, Tapia) ∆T is the time horizon over which you compute the intensities of aggressive orders (you get the k and A parameters) I have two ...
LaGabriella's user avatar
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What is an efficient data structure to save order book states?

First of all, I am aware of the highly related question What is an efficient data structure to model order book?, but my question is a bit different here. I want to save the order book states after ...
autoencoder's user avatar
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266 views

Combining two orderbooks

Consider two different pairs of currencies traded in the same exchange. We will call these pairs A/B and A/C. Each market comes ...
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Measuring latency with tcpdump and storing output

I am writing a code in python that streams real-time data from the Coinbase Exchange. ...
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Efficient way to store orderbook in Python

I am using the Coinbase WebSocket API to extract real-time data about the orderbook for BTC-USD. I am using the following code to store the snapshots of bids and asks and the changes to the orderbook ...
apt45's user avatar
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Order Book during trade halts

I noticed this weird structure of the order book during trade halt of $GCT, August 19th 2022. Stock was halted at the time. Could someone explain why bid is higher than ask? Is this just a bug in the ...
Eugen's user avatar
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Are there open source or academic-only limit order book data sets available?

I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
crogg01's user avatar
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How can a top-of-the book market maker protect itself from exploiting?

Let's consider there is an instrument N traded on a single venue (centralized anonymous limit orderbook). Let's say that most taker orders are tiny, therefore the one who stays at the best bid/offer ...
kandi's user avatar
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Computing market impact from the order book?

Market impact as I understand it measure the difference in price between the first share that is bought and the last share that is bought when an buy order of N shares is submitted to the exchange. (...
Quantified's user avatar
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101 views

Level 1 NBBO - what is going on?

Looking at some level 1 quotes data (QRM) on the bloomberg terminal for a DAX index option. Why is there always a 1 lot quote for 450 just popping in every other tick? Seems like there is a single MM ...
des224's user avatar
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Downloaded data is quote-driven or order-driven?

I downloaded data from Refinitiv Datastream (But I think that you get the same data from Bloomberg) to write my thesis. I downloaded prices and volumes. I have a crucial question now: Are the prices ...
Mining's user avatar
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4 answers
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Backtesting using microstructure (orderbook) data

I would like to use tick data (especially order book data; but also trade) to backtest my strategies, can anyone offer a recommendation? Personally, I've written my own backtesting scripts couple of ...
matt's user avatar
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Do IOC Orders Stay on the Order Book for Any Period of Time

I'm confused on whether or not an IOC (Immediate Or Cancel) order will stay on the order book for any period of time. For example, if I place an IOC buy limit order at \$1.00 and the ask price is $1....
Bob Marshall's user avatar
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Methods of predicting liquidity consumption

Let's consider limit order book for a certain stock. By liquidity consumers i mean traders that buy/sell shares using market orders. What are the known methods/models for predicting total amount of ...
mkultra's user avatar
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How to merge ML-based $\alpha$-signal with stochastic control approach?

I'm having a hypothetical situation where I have a set of ML-based alpha signals $\{\alpha_i\}_{i=1}^{N}$ that describe a different states of order book - imbalances, order flow, spread properties etc....
Accelerate to the Infinity's user avatar
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Difference between real and expected average transaction price of an order?

This might be a really simple question but I'm quite confused. I've been given a limit order book (I don't think it's necessary to upload it for my question but I can if you want me to) and I've been ...
Charlie P's user avatar
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188 views

Trading currency on Kraken.com platform using their REST API (AddOrder), is this correct?

I would like some confirmation on whether what I came up for buying/selling currency on kraken.com is valid. Right now I get ...
bliako'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
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587 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 ...
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do prior day orders carry over to next day pre market order in Nasdaq?

I am looking at Stefan Jansen's machine learning for trading, specifically, rebuilding Nasdaq order book from Nasdaq itch data. In his jupyter-notebook, he says Throughout the day, new orders are ...
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