Order Book Data, Integrity, Liquidity Analysis, and Own-Order Filtering
Summary
This guide explains how an order book represents market depth at Level 1, Level 2, and Level 3, and how strategies can subscribe to incremental deltas, depth snapshots, or timed full-book updates. It describes the cached book’s source-management constraints and warns that interval delivery publishes the last cached state if updates stop. Analysis methods include best bid and ask access, spread and midpoint calculations, quantity and average-fill estimates, and simulated fills against displayed depth.
The guide also covers explicit integrity checks, including crossed-book detection, instrument matching, order-side resolution, and how stale or out-of-order updates affect book contents and metadata. A separate own-order book tracks working orders; filtered views subtract a strategy’s own liquidity, with optional status and acceptance-time filters to reduce double counting. For binary outcome markets, complementary orders can be merged using the price transform of one minus the other outcome’s price. This requires the caller to supply a genuinely complementary instrument. These tools describe data handling and estimates from book state; they do not guarantee executable fills or eliminate feed-quality and latency concerns.
Key ideas
- Level 1, Level 2, and Level 3 books retain different amounts of market detail.
- Subscriptions determine whether the cached book is maintained from deltas or depth snapshots.
- Book methods estimate available quantity and average execution prices from displayed liquidity.
- Own-order filtering subtracts a strategy’s resting orders from public depth, with optional status and timing controls.
- Complementary binary-market orders can be transformed using one minus the quoted price, provided the instruments are truly complementary.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.