Tools and Approaches for Visualizing Limit Order Book Evolution
Article Quant Q&A · Author: Louis Marascio
Summary
The document surveys software and approaches for examining limit order books over time. The requested capabilities include displaying bids and asks, switching between individual orders and aggregated price levels, tracking changes through time, replaying historical states, comparing venues, and calculating activity statistics such as additions and cancellations. Responses name examples spanning R packages and data interfaces, standalone visualizers, trading platforms, charting heat maps, and sample code that can be adapted.
The suggestions vary in scope: some are presented as research or demonstration tools, while others offer real-time viewing or replay. One answer recommends building a custom visualization to focus on the information of interest, and another proposes a heat map for following book activity through time. The document is a community list rather than a tested comparison. Tool availability, supported data feeds, venue coverage, and replay features may have changed, and it gives no common evaluation of accuracy, cost, or suitability for quantitative analysis. Readers should verify current capabilities against their data and workflow.
Key ideas
- Useful order-book tools can show bids, asks, and either individual orders or aggregated levels.
- Historical replay and time-based views help inspect how the book changes during a session.
- Multi-venue analysis may require maintaining separate venue books and displaying a combined view.
- The responses mention R interfaces, standalone visualization software, heat maps, and adaptable examples.
- The list is anecdotal and does not provide a consistent evaluation of current tools.
Tags
Full text
# What tools exist for order book analysis and visualization? # What tools exist for order book analysis and visualization? What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for software help? I've not found anything off the shelf, but I'm curious if others in this community might know of something. My preference is for free/open source that are available for R or Python, but commercial tools are acceptable as well. My wish list would look something like this: - Order book visualization. Show the bids and asks in standard book form. - Order by order or level aggregation. - Order tracking through time. - "VCR style" controls that allow one to easily scan through the book across time. - Multiple venue support. Depth of book data from more than one venue is maintained as a separate book for a given instrument, but an aggregated "virtual" book can be displayed. - Descriptive statistics could be calculated across arbitrary time periods (# of orders added, deleted, etc. Any suggestions on tools that might help in this type of analysis are welcome as are suggestions of features not listed here but that are provided by software packages available today. ## Answer by bill_080 (score 19, accepted) https://quant.stackexchange.com/a/1873 I don't know why it was removed, but the R package "orderbook" was available: http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf http://cran.r-project.org/web/packages/orderbook/index.html In the IBrokers package, the function "reqMktDepth" is used for streaming order book data. http://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf ## Answer by Foo Bah (score 8) https://quant.stackexchange.com/a/1886 So one such visualization package is demonstrated in http://www.tradeworx.com/movie/booklet_demo/temp/booklet_demo2.mov. AFAICT it looks like a tk script. Trading Technologies (TT) sells another visualization tool. But TBH writing your own tool takes a few hours and allows you to focus on what information you are interested in finding. ## Answer by Qbik (score 7) https://quant.stackexchange.com/a/3627 http://lobster.wiwi.hu-berlin.de/forum/viewtopic.php?f=4&t=30 R code, pictures and discussion, it's easy to modify it ## Answer by Serg (score 3) https://quant.stackexchange.com/a/8847 There is a new Order Book visualization tool, called BookMap: http://www.youtube.com/watch?v=1c6HegAn-CA It allows to trade and simulate trading in real-time or replay mode. The replay mode is free to use. BookMap is the only tool, that visualizes the history (evolution) of the order book. (the first version will be soon in production) ## Answer by Louis Marascio (score 2) https://quant.stackexchange.com/a/1880 I came across B/View which is a Java application that visualizes the order book for a single stock on a single day. It encompasses some of the basic features I would expect in such a tool. It appears to be more a demonstration than a general purpose tool. ## Answer by SemanticBeeng (score 2) https://quant.stackexchange.com/a/17426 BookMap seems cool, indeed. - Jigsaw trading has something good, similar, less expensive http://www.jigsawtrading.com/order-flow-software/ The owner is a trader This tool is used by profitable traders: http://www.nobsdaytrading.com/free-info/for-inexperienced-traders/ - DB Vaello from OrderFlow Analytics offers another great tool http://www.orderflowanalytics.com/get-ofa ## Answer by litepresence (score 1) https://quant.stackexchange.com/a/21142 The moderator Bob Jansen deleted my previous response without meaningful comment. Bob, please explain why highchart heatmap cannot be used to "order track through time". The user asked for: > Order tracking through time. My preference is for free/open source that are available for R or Python You need a heat map to do that. I recommended the Heatmap plugin for Highcharts. It is absolutely capable of everything that "Bookmap" (as recommened by Serg) does; as bookmap is really just another heatmap utility with a gui interface. I really have no idea why this was not an adequate response. Its even offered as a free web utility for trial and its compatible with python. You can input an array to HTML field and adjust chart params in java field. Test free it here: http://jsfiddle.net/gh/get/jquery/1.9.1/highslide-software/highcharts.com/tree/master/samples/highcharts/demo/heatmap-canvas/ ## Answer by Clebson Derivan (score 0) https://quant.stackexchange.com/a/1868 Take a look a EclipseTrader. ## Answer by Marwin Steiner (score 0) https://quant.stackexchange.com/a/85439 VisualHFT is pretty cool, though its WPF/C# based and focused mainly on crypto, to my knowledge. ## Answer by fccoelho (score -1) https://quant.stackexchange.com/a/27897 You may want to take a look at this: https://www.youtube.com/watch?v=4CnowC3UH4s
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