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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What is an efficient data structure to model order book?

What is an efficient data structure to model order book of prices and quantities to ensure: constant look up iteration in order of prices retrieving best bid and ask in constant time fast quantity ...
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44 votes
9 answers
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What tools exist for order book analysis and visualization?

What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
Louis Marascio's user avatar
26 votes
3 answers
11k views

How are limit orders selected from the order book?

I'm sure there is a simple answer to this but I haven't had any luck with searches. I'm just wondering when someone places a market order which order(s) from the limit order book are selected to fill ...
user1597's user avatar
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25 votes
5 answers
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Implementing data-structures in a Limit order book

I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance. Using F# as an example, I need to consider a List versus Array for ...
jordan.baucke's user avatar
22 votes
3 answers
11k views

Control for bid/ask bounce in high-frequency trade data?

The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It introduces a systematic bias to the data which can cause serious problems in analysis. What methods ...
Shane's user avatar
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20 votes
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What techniques are used for testing order book implementations?

I am finishing the implementation of a limit order book for modeling NASDAQ. The order book works off of the ITCH feed. My question is what techniques are typically used for testing order books. I am ...
Steve Severance's user avatar
17 votes
3 answers
4k views

Order submission strategies of a rational market maker?

Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...
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15 votes
2 answers
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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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14 votes
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What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?

On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so? What would you ...
tdelet's user avatar
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1 answer
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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,...
Kch's user avatar
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12 votes
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Identify Iceberg Orders

What would be the best algorithm to identify Iceberg Orders? I have found one in the paper "The Impact of Hidden Liquidity in Limit Order Books" by Stefan Frey and Patrik Sandas, but I was wondering ...
python_enthusiast's user avatar
11 votes
3 answers
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Limit order book size

I am trying to write a highly optimised limit order book and I wondered what sort of size I can expect for: Range of limit prices Number of orders at each limit price I am developing custom hardware ...
Jonathan Evans's user avatar
11 votes
1 answer
1k views

A generic limit order book: What are the most important queries it should be able to answer?

Assume a class LimitOrderBook which represents a limit order book in a trading system. To be able to represent the limit order book a data handler reads a feed ...
knorv's user avatar
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10 votes
1 answer
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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 (...
Vijay Kumar's user avatar
9 votes
3 answers
7k views

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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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 ...
Kevin Burke's user avatar
9 votes
1 answer
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how do we estimate position of our order in order book?

how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in ...
Sam Hayen's user avatar
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9 votes
1 answer
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Why would a trader quickly flicker an order immediately preceding a tick away?

The Setup Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; however,...
Louis Marascio's user avatar
9 votes
1 answer
591 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 ...
ltrd's user avatar
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8 votes
6 answers
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FIX- what exactly do repeating groups represent?

I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
user997112's user avatar
8 votes
4 answers
2k views

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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8 votes
2 answers
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Non-SQL methods for high-frequency accounting?

Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
8 votes
1 answer
1k 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 ...
Thomas Johnson's user avatar
7 votes
1 answer
7k 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 "...
Oleg Vazhnev's user avatar
7 votes
2 answers
3k 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, ...
emcor's user avatar
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7 votes
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What exactly is an ISO order?

I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
Palace Chan's user avatar
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6 votes
2 answers
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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 ...
James's user avatar
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6 votes
3 answers
899 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?
chrisapotek's user avatar
6 votes
2 answers
8k 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, ...
olivia's user avatar
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6 votes
1 answer
721 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 ...
user1050421's user avatar
5 votes
4 answers
1k views

Deep bid ask orders

Why do I often see some very deep limit buys and limit sells in a limit book? For instance the bid-ask may be \$39.00-39.01 but I see some bids at \$20 or even \$10 and some ask at \$60 or even \$500. ...
CharlesM's user avatar
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2 answers
531 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 ...
TechCrap's user avatar
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5 votes
1 answer
968 views

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 ...
koon93's user avatar
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5 votes
1 answer
613 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 ...
user113156's user avatar
5 votes
2 answers
1k 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. ...
Vimell Presad Yuvarajah's user avatar
5 votes
2 answers
603 views

What does ABBO (Away best bid and offer) refer to?

I know what the NBBO is but I've seen mention of ABBO and I'm not sure what it means?
Palace Chan's user avatar
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5 votes
2 answers
653 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. ...
g_puffo's user avatar
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5 votes
1 answer
655 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 ...
Serg's user avatar
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4 votes
1 answer
2k views

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
  • 213
4 votes
2 answers
3k 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 ...
Jason's user avatar
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4 votes
3 answers
837 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 ...
g_puffo's user avatar
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4 votes
1 answer
1k 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'...
flxh's user avatar
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4 votes
1 answer
460 views

What is a good source to learn the different nuances of electronic orders and their nature?

Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...
Palace Chan's user avatar
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4 votes
3 answers
450 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 ...
nimbus3000's user avatar
4 votes
2 answers
6k views

Calculating true value of a stock given the order-book and recent trades

I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
wildbunny's user avatar
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4 votes
4 answers
722 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 ...
user123123's user avatar
4 votes
3 answers
715 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, ...
g_puffo's user avatar
  • 425
4 votes
1 answer
222 views

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?
keon6's user avatar
  • 61
4 votes
1 answer
603 views

Mid-Point calculation with execution probability

Referring Cao, Hansch, and Wang (2004) "The Informational Content of an Open Limit Order Book" $$ \mbox{WP}^{n_1 - n_2} = \frac{\sum_{j=n_1}^{n_2} (Q_j^d P_j^d + Q_j^s P_j^s)}{(Q_j^d + Q_j^s)} $$ ...
Svisstack's user avatar
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4 votes
1 answer
223 views

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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