Reconstructing and Viewing Order Book

Community Support
1

Greetings all, 

I am currently working on an order book reconstruction. I have a few ideas how to do it, but I am struggling to come up with an idea for how to actually view/chart it. Because it is a multidimensional table. 

For example, right now I am thinking of making a table like this: 

| Price/Time | 10:00 | 10:01 | 10:02 |
| 10 | 1 | 2 | 3 |
| 20 | | 2 | 2 |
| 30 | 1 | 1 | 3 |

But, there are BID and ASK quantities and how exactly to table them and then view throughout time… no idea.

If I make the order book look like this: 

| time | Px | time |
| 5 | 4 | 3 | 2 | 1 | 0 | 1 | 2 | 3 | 4 | 5 |
| | | | | | 88.68299 | 1 | 1 | 1 | 1 | 1 |
| | | | | | 77.45233 | | 5 | 5 | 5 | 5 |
| | | | | | 67.93601 | | | | 1 | 1 |
| | | | | | 64.83352 | | | 3 | 3 | 3 |
| | | | | | 52.72378 | | | | | |
| 1 | 1 | 1 | 1 | 1 | 35.29648 | | | | | |
| 1 | 1 | 1 | 1 | | 32.2256 | | | | | |
| 1 | 1 | 1 | | | 23.20569 | | | | | |
| 2 | 2 | | | | 1.197277 | | | | | |

then I have no idea how to view it. Essentially, I do not have a solid plan on the structure of the resulting Orderbook just yet. 

Any ideas and suggestions would be very much appreciated, I think this is a very interesting problem. 

2

Please see attached. 

HTH,

Kim

This is indeed an old problem. See attached: 

Am Donnerstag, 1. Dezember 2016 08:01:55 UTC+1 schrieb VA:

Greetings all, 

I am currently working on an order book reconstruction. I have a few ideas how to do it, but I am struggling to come up with an idea for how to actually view/chart it. Because it is a multidimensional table. 

For example, right now I am thinking of making a table like this: 

| Price/Time | 10:00 | 10:01 | 10:02 |
| 10 | 1 | 2 | 3 |
| 20 | | 2 | 2 |
| 30 | 1 | 1 | 3 |

But, there are BID and ASK quantities and how exactly to table them and then view throughout time… no idea.

If I make the order book look like this: 

| time | Px | time |
| 5 | 4 | 3 | 2 | 1 | 0 | 1 | 2 | 3 | 4 | 5 |
| | | | | | 88.68299 | 1 | 1 | 1 | 1 | 1 |
| | | | | | 77.45233 | | 5 | 5 | 5 | 5 |
| | | | | | 67.93601 | | | | 1 | 1 |
| | | | | | 64.83352 | | | 3 | 3 | 3 |
| | | | | | 52.72378 | | | | | |
| 1 | 1 | 1 | 1 | 1 | 35.29648 | | | | | |
| 1 | 1 | 1 | 1 | | 32.2256 | | | | | |
| 1 | 1 | 1 | | | 23.20569 | | | | | |
| 2 | 2 | | | | 1.197277 | | | | | |

then I have no idea how to view it. Essentially, I do not have a solid plan on the structure of the resulting Orderbook just yet. 

Any ideas and suggestions would be very much appreciated, I think this is a very interesting problem. 

3

Hi Kim, 

Thank you your response. 

This is the structure that I have come to have as well. Colour will bring the 3rd dimension. However, interestingly, according to your table, prices went up half-way through the period (and then at the end as well) despite being sold off. I would imagine if there was such a pressure on selling the priced would definitely go down, not up…? 

4

There were two news release and both were positive. Now we can discuss how we can categorize a news J. Enjoy the next one. I still have two more but they are more complicated and need a deep understanding of micro structure of an orderbook.<o:p></o:p>

<o:p> </o:p>

Kim<o:p></o:p>

<o:p> </o:p>

<o:p></o:p>

<o:p> </o:p>

<o:p> </o:p>

<o:p> </o:p>

Von: personal-kdbplus@googlegroups.com [mailto:personal-kdbplus@googlegroups.com] Im Auftrag von VA
Gesendet: Freitag, 2. Dezember 2016 17:35
An: Kdb+ Personal Developers
Betreff: [personal kdb+] Re: Reconstructing and Viewing Order Book<o:p></o:p>

<o:p> </o:p>

Hi Kim, <o:p></o:p>

<o:p> </o:p>

Thank you your response. <o:p></o:p>

<o:p> </o:p>

This is the structure that I have come to have as well. Colour will bring the 3rd dimension. However, interestingly, according to your table, prices went up half-way through the period (and then at the end as well) despite being sold off. I would imagine if there was such a pressure on selling the priced would definitely go down, not up…? <o:p></o:p>

<o:p> </o:p>

<o:p> </o:p>

On Thursday, December 1, 2016 at 9:35:37 PM UTC, kuentang wrote:<o:p></o:p>

Please see attached. <o:p></o:p>

<o:p> </o:p>

HTH,<o:p></o:p>

<o:p> </o:p>

Kim<o:p></o:p>

<o:p> </o:p>

<o:p></o:p>

This is indeed an old problem. See attached: <o:p></o:p>

Am Donnerstag, 1. Dezember 2016 08:01:55 UTC+1 schrieb VA:<o:p></o:p>

Greetings all, <o:p></o:p>

<o:p> </o:p>

I am currently working on an order book reconstruction. I have a few ideas how to do it, but I am struggling to come up with an idea for how to actually view/chart it. Because it is a multidimensional table. <o:p></o:p>

<o:p> </o:p>

For example, right now I am thinking of making a table like this: <o:p></o:p>

<o:p> </o:p>

|

Price/Time<o:p></o:p>

|

10:00<o:p></o:p>

|

10:01<o:p></o:p>

|

10:02<o:p></o:p>

|
|

10<o:p></o:p>

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|

20<o:p></o:p>

| |

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|

30<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

|

3<o:p></o:p>

|

<o:p> </o:p>

But, there are BID and ASK quantities and how exactly to table them and then view throughout time… no idea.<o:p></o:p>

<o:p> </o:p>

<o:p> </o:p>

If I make the order book look like this: <o:p></o:p>

<o:p> </o:p>

|

time<o:p></o:p>

|

Px<o:p></o:p>

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time<o:p></o:p>

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|

5<o:p></o:p>

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3<o:p></o:p>

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4<o:p></o:p>

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5<o:p></o:p>

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| | | | | |

88.68299<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

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| | | | | |

77.45233<o:p></o:p>

| |

5<o:p></o:p>

|

5<o:p></o:p>

|

5<o:p></o:p>

|

5<o:p></o:p>

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| | | | | |

67.93601<o:p></o:p>

| | | |

1<o:p></o:p>

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1<o:p></o:p>

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| | | | | |

64.83352<o:p></o:p>

| | |

3<o:p></o:p>

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3<o:p></o:p>

|

3<o:p></o:p>

|
| | | | | |

52.72378<o:p></o:p>

| | | | | |
|

1<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

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1<o:p></o:p>

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35.29648<o:p></o:p>

| | | | | |
|

1<o:p></o:p>

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1<o:p></o:p>

|

1<o:p></o:p>

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1<o:p></o:p>

| |

32.2256<o:p></o:p>

| | | | | |
|

1<o:p></o:p>

|

1<o:p></o:p>

|

1<o:p></o:p>

| | |

23.20569<o:p></o:p>

| | | | | |
|

2<o:p></o:p>

|

2<o:p></o:p>

| | | |

1.197277<o:p></o:p>

| | | | | |

<o:p> </o:p>

then I have no idea how to view it. Essentially, I do not have a solid plan on the structure of the resulting Orderbook just yet. <o:p></o:p>

<o:p> </o:p>

Any ideas and suggestions would be very much appreciated, I think this is a very interesting problem. <o:p></o:p>

–
Submitted via Google Groups

5

Which software do you use for visualising the order book? And do please post two more screenshots! This is incredibly interesting.

6

And do your order books have market orders or just limit orders?