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Results tagged with limit-order-book
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user 55307
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
Your question is quite broad, but I try my best to give you some hints to tackle this:
To predict the price direction, you need to build a signal from your order book. I recommend Information-driven b …
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