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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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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2answers
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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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Bid-ask spread using transactions data [duplicate]
In the absence of quotes data, I'm looking to calculate the realized bid-ask spread using (high-frequency) transactions data. Is there a standard method of doing this? Many thanks.
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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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41 views
Optimal execution of limit and market orders [duplicate]
I have built a alpha to get signals buy/sell. Because I trade with a large number of future, I need a good strategy to execute. I want to split my target 2 parts: limit and market order book. But I ...
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162 views
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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Recreating Bid-Ask from Transactions data
A database only has transactions/trades for a given instrument.
In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow?
what are ...
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22 views
How to find the equilibrium price in a CDA with limit orders?
I'm trying to understand how a continuous double auction works, by working through the below setup:
I'm trying to figure out
what the final results would look like
how to determine the equilibrium ...
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1answer
90 views
How do limit order prices meet?
I understand how limit orders work but I don't know how do they meet. Suppose the book of a ticker ABC is empty. Trader 1 sends a buy limit order for 1 share of ABC at 2\$, and at the same time (...
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Limit order book modeling based on computational statistics
Is someone aware of publications that try to model limit order book (and market mircostructure) in general using CS tools (such as online machine learning, game theory ecc...) and not stochastic ...
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100 views
Pegged Orders Positioning
I have a strategy that involves being first in the order queue in a tight market where the tick can change from bid to ask or ask to bid by one tick. I am looking at pegged orders so when the bid ...
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Replicate the size and sum of the order book using the binance API
I’m trying to replicate the size and sum of the order book using “/fapi/v1/depth” but without success.
Could you please help?
Thank you in advance.
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76 views
How Crypto Exchanges handle overlapping orders when self trading is disabled?
I am unsure how a typical "matching engine" handles overlapping orders (in my case, Deribit). I would be just as interested in how any crypto exchange handles the situation. The user has ...
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29 views
Obtain order level data for German stocks
in the context of my dissertation I am working on high frequency trading and would like to investigate its effects on the German stock market. For this purpose I will need the order activities of a ...
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How could one (roughly) approximate the existence of hidden orders given a set of historic depth snapshots and trades?
I am trying to identify the existence and perhaps magnitude of hidden/iceberg orders in the historic depth updates and trades of a given asset. Obviously the minutiae of frequency and aggregation of ...
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1answer
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How do locked markets get resolved in a low-volume market?
Consider a low-volume exchange-traded security that sometimes sees no trading volume for days on end. Examples of such securities are some bonds, preferred shares, SPACs, and ETFs listed on the NYSE ...
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Which features based on orderbook information could be relevant for price prediction?
I have some orderbook data, including 5 ask prices, 5 bid prices, amount of asks and bids for every price, and midprice which is equal to (best bid + best ask)/ 2.
I would like to predict absolute ...
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1answer
193 views
Complexity of using balanced-tree to model order book
I have bene researching on the best data structure to implement a limit order book. Some of the most common implementations include arrays and balanced trees. This link has a good set of references.
...
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172 views
Market Making Formulation
I'm developing a deep reinforcement learning based approach to market-making. In order to implement this, I need to define the appropriate actions and define environmental steps. While doing some ...
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1answer
230 views
Building Limit OrderBooks methods (order-based) or (level-based)
I'm trying to implement a code to build limit order books. While doing some research I have seen two methods mainly, order-based for equities and level-based for futures.
I could not understand why ...
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How does a Stock Exchange Provider implement a Stop-Loss Order?
If I place a stop loss order at my provider. Is this order directly forwarded to the stock exchange? Or does my provider implement this logic. If so, do they have to declare any delays that arise by ...
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120 views
Order anticipation
Is there a way to anticipate order flow on a security. For simplicity's sake i'm referring to a security that is traded on one exchange and has a single order book, by anticipating order flow i mean ...
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Competitive levels in Limit Order Books
I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
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Limit order book - Behaviour of GTC orders in the Orderbook
If I made a GTC (good till cancelled) to a Stock Exchange how will it stay within the Orderbook of the Stock Exchange if not executed during the day? Will it be removed after the trading day is over ...
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What is the price when the buy limit is above sell limit [closed]
Consider a marketplace where the sell order book has one order for 10 units at 1\$, then 10 units at 1.1\$ and then 100 units at 2\$. Say that I want to buy 20 units, and that I place a limit order ...
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2k views
How to understand micro-price (aka, weighted mid-price)?
The definition of micro-price is
S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb)
where Pa is the ask price, ...
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3answers
649 views
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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80 views
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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75 views
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
218 views
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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79 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
49 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
103 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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1answer
57 views
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
255 views
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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535 views
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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1answer
443 views
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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311 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
345 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
472 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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391 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
145 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
1k 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
174 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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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?
...
