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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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 .
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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-...
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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 ...
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How to construct a approcimate order flow imbalance only from trade data without transaction data
I have read some paper like https://arxiv.org/abs/1011.6402 , which need transaction to construct order flow imbalance.
The binance api only have trades(Executed transactions) for spot data.
So I ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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. (...
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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 ...
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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 ...
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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 ...
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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....
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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 ...
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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....
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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 ...
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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 ...
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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
...
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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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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
...
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Market making algo using bid ask order volume ladder
I am looking for references for market-making strategies using bid-ask order ladder. Algo should suggest entry prices, and do inventory management. I am more interested in practical simple algo used ...
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Modelling queue position
Is there any viable way for me to know the dynamics of my LOB position? Lets suppose the LOB is order based LOB, and i send a order to this level, can i know if the qty in front of me cancelled vs ...
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How is forex market Quote-Driven?
I am new to the field, and trying to understand structure of spot currency market.
As it is stated here,
Quote-Driven Market ... only displays the bid and asks offers for a security from designated ...
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Predicting price direction from order flow at high frequency
I have access to high frequency data for a few instruments using which I can simulate a limit order book.I would like to predict direction of price(best bid/ask) in the short term(1 sec, 5 sec and 10 ...
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What does a electronic dealer track in a RFQ market?
If you have mid price for rfq market in fixed income. What is the internal order book tracking at a bank? Customers dont place limit orders or do they? There arent any other market makers on your ...
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Red Black Trees for Limit Order Book
Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
Why are they algorithmically ideal?
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What are the proper ways to do order book downsampling?
I have an access to the order book dataset, which was sampled with resolution that is too high for my sandbox experiments with it. Because of that, I was wondering, what would be the correct way to ...
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How to visualize limit order book in gui? What Library or widgets to use?
I have implemented a very simple limit order book in c++ . I would like to visualize it in a GUI application. I don't any experience in GUI. What library and widget may be used? Any suggestion in this ...
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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. ...
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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 ...
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