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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Why can we assume the bid-ask spread equals to one tick?
I am reading Price dynamics in a Markovian limit order market by Rama Cont & Adrien de Larrard. They explained the bid-ask spread $s^a_t - s^b_t$ is equal to one tick more than 98% of the time. ...
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Spread in crossing network?
Since in crossing network traders buy and sell at $\frac{(A_{1}+B_{1})}{2}$, this means that the bid-ask spread is equal to 0.
And also in theory the depth of the market shouldn't change, but volume ...
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115 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 ...
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1answer
155 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
198 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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147 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
34 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 if he has temporary or even permanent price impact? This assumes he cancels after ...
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226 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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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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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?
...
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1answer
655 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
179 views
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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70 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 ...
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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
83 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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425 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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108 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
74 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 ...
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4answers
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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 ...
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1answer
419 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
598 views
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
2k views
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
303 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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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
959 views
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
230 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
149 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. ...
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1answer
149 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
517 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
1k 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
377 views
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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254 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
79 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
627 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
409 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
404 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, ...
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1answer
360 views
Order book Limit Order book
I am trying to make a Limit Order book from an ITCH file using r. what is the basic difference between orderbook and limit orderbook? R has a package for orderbook I think
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124 views
Adjusting for your own orders in future backtests
I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer.
Suppose you have a strategy you are running where at certain ...
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1answer
291 views
Level II market data (equities)
I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
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2answers
445 views
Locked or Crossed Markets
I don't understand why Rule 610 from Reg NMS was introduced: what was the problem with locked markets?
I have read that one of the issues is that it forced a market maker (say, from Nasdaq) who ...
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477 views
Mid-Point calculation with execution probability
Referring
Cao, Hansch, and Wang (2004) "The Informational Content of an Open Limit Order Book"
$$
\mbox{WP}^{n_1 - n_2} = \frac{\sum_{j=n_1}^{n_2} (Q_j^d P_j^d + Q_j^s P_j^s)}{(Q_j^d + Q_j^s)}
$$
...
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3answers
517 views
What are the unfair order execution/routing advantages HFT firms apparently have?
I originally thought that you have an orderbook per stock and orders would be filled on the time at which they arrive. Arrive first and you get the best price and the qty in the orderbook is reduced ...
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3answers
441 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?
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1answer
783 views
How do you calibrate a poisson arrival rate process?
Many papers in the microstructure literature assume an order arrival rate of the form
$\lambda^a(\delta) = \lambda^b(\delta) = Ae^{-k\delta}$
That is, an order that's placed $\delta$ away from the ...
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1answer
140 views
Change of order size
For example I am put a limit order of size 10 at top bid.
moments later, my algorithm detects we should have size of 50 here. So we request a update on this order.
My question is, will we lose the ...
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2answers
390 views
Disclosure of the liquidity provider identity in ITCH
If you look into the description of Nasdaq ITCH data, you see two types of order entries in the book: Message of Type A and F. Under type F, you will see the identity of the market participant (MPID). ...
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2answers
233 views
Quotes and Transactions Streams from Exchange
I have possibility of taking 2 types of real time streams from some exchange:
bid-ask quotes (fresh quotes from order book)
transaction log (transactions matched by exchange)
I'm curious what ...
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1answer
5k views
open-source implementation of orderbook from FAST?
I'm looking for c/c++ implementation of OrderBook. I need implementation to reconstruct market data from FAST. I don't need to do "matching" because it already did by exchange, I only need to "...
