Questions tagged [orderbook]
The orderbook tag has no usage guidance.
47 questions
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How do order books work to match trades?
I have some questions about how order matching works:
Can an order be matched if the top of the order book on the bid side is lower than the top on the ask side? I would say no since matching would ...
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correlation between bid/ask prices and bid/ask sizes to realized volatility
I am trying to understand the effect of correlation between bid price and ask size with realized volatility (called targe_vol). Similarly, correlation between ask price and bid size with realized ...
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Data Feed for Gold (XAU/USD)
Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for ...
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where can i get all the depth levels of orderbook data for BTC?
Right now, I was able to get an orderbook snapshots data for BTCUSDT in Binance. The problem with this data is that each depth level of the orderbook increases every 5 cents or so. For total of 20 ...
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Futures: how is the orderbook computed?
I'm interested in CME futures, for example the SP500. And I wonder if the orderbook is just an aggregation of STOP and LIMIT orders?
For example the following fictive orderbook:
...
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Stock trading data across multiple vendors interview question
I had the following coding question in a quant shop interview recently. I have no experience with quant finance, so I was hoping to get some insight on if this problem actually represents some real ...
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FREE historical limit order book tick data with decent depth
This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE.
It does not have ...
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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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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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Dark Pool Midpoint Order Matching
From what I understand, orders in some dark pools are typically matched at the midpoint price, and matching prioritized in size, price, time.
Market orders execute at the midpoint.
Limit orders ...
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How do we relate time-horizon with reducing inventory risk in the Avellaneda-Stoikov model?
On the Avellaneda Stoikov Model we have the following definition of reserve price:
This means that when q > 0 and the market maker has a long position, the reservation price decreases. So there is ...
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Orderbook Liquidity Parameter Avellaneda Stoikov
I am trying to implement Avellaneda & Stoikov (2006) model for HF market making on L2 orderbook data.
Most parameters are straight forward but I am struggling with the orderbook liquidity ...
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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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Known methods for big order detection
I have an access to the order book from stock market and i am interested in finding an anomalous behaviour.
What are the known methods, algorithms for detecting big orders or other activities of ...
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Interpreting an Order Book (example Kraken.com)
An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
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Stock market simulator coding problem
I'm working on a coding problem that I was given for simulating a stock market simulator. I don't really know anything about the stock market, but the instructions state that stock market domain ...
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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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Modelling the Order Book
For every country, there are Regulators who monitor and regulate the activities of Stock exchanges etc. Do those regulators also monitor Order books of those exchanges? Do they monitor real time? or ...
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Exchange order matching system/core for local testing
I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core).
I remember, that I have seen on GitHub repo, ...
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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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Difference between IOC and FOK orders
I am trying to understand the difference between FOK and IOC orders. If I send a market FOK or IOC order to sell 100 shares of StockX - what would happen if the orderbook looked like this?
...
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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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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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Revealed liquidity in latent limit order book
It is stated in the LLOB model (i.e. this paper, https://arxiv.org/pdf/1105.1694.pdf ) :
Our basic idea is that of a “latent order book” that at any instant of time t aggregates the
total intended ...
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Estimating the spread of a market maker
If we have an order book and we assume that we know there is only one market maker, how can we determine exactly the spread of the market maker? What if there are more than one market makers?
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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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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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how to calculate/retrieve the number of sell orders (and buys orders as well) to detect iceberg orders
As a manual trader, i could identify the iceberg orders because my interface provided me in real time the number of buys and the number of sells at best ask and best bid.
For instance, when the ...
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Orderbook db structure
I am currently saving a sub 1 sec snapshot of an orderbook to my SQL db. However I have quite the trouble on figuring out the architecture of this DB
What I'm currently doing is saving a table with ...
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Market makers order execution on the order book
If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
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Would it be fair an exchange where priority in the order book is the fee paid per share in the order?
Instead of matching orders in the order book by price then time, what are the consequences if orders are prioritised by price then fee paid per share in the order?
An idea similar to the way ...
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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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How to debit user balance on market buy order?
Suppose that the user's balance is debited before his order is sent to the matching engine. The debiting is done to ensure that the user has sufficient balance and that he is not submitting orders ...
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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 (...
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Precise calculation of the last price
This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise.
Let's assume there is a ...
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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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Are there any exchanges which match orders in timed intervals?
When an exchange works with an electronic order book and a matching engine, it usually tries to match orders in realtime during trading hours. That means when a new order comes in, it tries to match ...
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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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What approaches are there for keeping local and remote order books in sync?
Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
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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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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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TAQ NYSE OpenBook
Where can I get/buy the TAQ NYSE OpenBook for specific stocks on specific days?
I don't need a whole year of all stocks. I just want to enter a day and a stock, so I can download the order book data ...
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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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Where do i find the trade execution priority rules for special order types on continous auction markets
I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
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Where do these Orders come from and what do they mean?
Good morning!
I was looking at an order book yesterday and saw orders which I haven't seen before. Normally an order in the order book consists of the total volume, the price and how many sellers/...
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Growth of Order Book size during day
I am trying to find market-structure research on how the size / depth of the order book changes during the day for equities.
I would expect it to get deeper and deeper and bigger and bigger ...
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