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Results tagged with limit-order-book
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user 42028
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 save order book states?
First of all, I am aware of the highly related question What is an efficient data structure to model order book?, but my question is a bit different here.
I want to save the order book states after th …
- 522
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How to add depth (volume) to order book plots?
I wonder how one could plot bid/ask volumes along with the prices as shown below:
Another example is:
To be more specific, I want to ask how to plot volume for each price level as some sort of shade …
- 522
1
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Accepted
LOBSTER Execution Price
There are some senarios where what you described could happen:
The buy order 100@1000 is a passive limit order, then it was executed when hit by the four aggressive orders with prices <= 100.
There …
- 522
0
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Accepted
where can i get all the depth levels of orderbook data for BTC?
This answer does not give you orderbook depth levels with 10 dollar increments directly, but does give you a broader range of depth:
So to have more levels than 20, you could simply use api provided b …
- 522