# 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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398 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 ...
498 views

### 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 ...
542 views

### Mid-Point calculation with execution probability

Referring Cao, Hansch, and Wang (2004) "The Informational Content of an Open Limit Order Book" $$\mbox{WP}^{n_1 - n_2} = \frac{\sum_{j=n_1}^{n_2} (Q_j^d P_j^d + Q_j^s P_j^s)}{(Q_j^d + Q_j^s)}$$ ...
181 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 ...
230 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. ...
144 views

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 ...
200 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 ...
126 views

### 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 ...
76 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 ...
108 views

### 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 ...
329 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 ...
124 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 ...
138 views

### 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 ...
716 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 ...
41 views

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 ...
100 views

### 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 ...
25 views

### 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. ...
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 ...
103 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 ...
91 views

### 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 ...
33 views

### 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 ...
93 views

### 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 ...
119 views

### 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?
42 views

### Stop-limit and Limit order at the same time on Binance

Imagine I set a stop-limit order whose trigger and sell conditions are if the price drops to 10$(stop) sell my asset at 9$ (...
147 views

### 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 ...
60 views

### 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.
32 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 ...
55 views

### 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 ...