Limit Order Book

$timestamp
[1] "2015-05-01 04:38:17 UTC"

$asks
         id           timestamp  exchange.timestamp  price     volume
1  65595580 2015-05-01 00:03:47 2015-05-01 00:03:47 239.76  500000000
2  65595555 2015-05-01 00:03:38 2015-05-01 00:03:38 239.45  500000000
3  65595545 2015-05-01 00:03:32 2015-05-01 00:03:32 239.23  500000000
4  65595684 2015-05-01 00:04:57 2015-05-01 00:04:57 239.21   19950000
5  65606089 2015-05-01 02:00:59 2015-05-01 02:00:59 239.00   10000000
6  65595585 2015-05-01 00:03:54 2015-05-01 00:03:54 238.86  592039879
7  65618006 2015-05-01 04:37:57 2015-05-01 04:37:57 238.85 1913481811
8  65617975 2015-05-01 04:37:39 2015-05-01 04:37:39 238.71   12000000
9  65595768 2015-05-01 00:05:40 2015-05-01 00:05:40 238.65  407960121
10 65618005 2015-05-01 04:37:57 2015-05-01 04:37:57 238.63 1993528995
     liquidity        bps
1  37133130111 141.702974
2  36633130111 128.590161
3  36133130111 119.284294
4  35633130111 118.438306
5  35613180111 109.555433
6  35603180111 103.633518
7  35011140232 103.210524
8  33097658421  97.288609
9  33085658421  94.750645
10 32677698300  93.904657
 [ reached getOption("max.print") -- omitted 35 rows ]

$bids
         id           timestamp  exchange.timestamp  price     volume
1  65616962 2015-05-01 04:38:06 2015-05-01 04:22:14 236.29   30000000
2  65612978 2015-05-01 04:17:59 2015-05-01 03:21:10 236.28   83680000
3  65616026 2015-05-01 04:07:01 2015-05-01 04:07:01 236.23   21165813
4  65612388 2015-05-01 03:13:08 2015-05-01 03:13:08 236.17  100000000
5  65612240 2015-05-01 03:12:39 2015-05-01 03:11:13 236.16    1174800
6  65612233 2015-05-01 03:11:06 2015-05-01 03:11:06 236.12    6174300
7  65617962 2015-05-01 04:37:26 2015-05-01 04:37:26 235.75  378000000
8  65610634 2015-05-01 02:51:19 2015-05-01 02:51:18 235.74   25000760
9  65610623 2015-05-01 02:51:14 2015-05-01 02:51:14 235.73   25000299
10 65618016 2015-05-01 04:38:03 2015-05-01 04:38:02 235.63  212217673
     liquidity         bps
1     30000000   0.0000000
2    113680000   0.4232088
3    134845813   2.5392526
4    234845813   5.0785052
5    236020613   5.5017140
6    242194913   7.1945491
7    620194913  22.8532735
8    645195673  23.2764823
9    670195972  23.6996911
10   882413645  27.9317787
 [ reached getOption("max.print") -- omitted 41 rows ]

Limit Order Events

Visualisation of limit order events (excluding market and market limit orders).

  • Ask side orders = red.
  • Bid side orders = blue.
  • Volume of order determines size of circle.
      event.id       id           timestamp  exchange.timestamp  price
37946        1 62092948 2015-05-01 03:32:31 2015-04-03 11:53:22 264.00
37959        2 62150454 2015-05-01 03:32:35 2015-04-03 22:58:22 263.00
37971        3 62727427 2015-05-01 03:32:37 2015-04-09 06:03:32 254.99
42163        4 64312638 2015-05-01 04:07:39 2015-04-22 07:26:07 255.00
36098        5 64348691 2015-05-01 03:22:13 2015-04-22 13:52:12 248.60
38979        6 64689439 2015-05-01 03:40:16 2015-04-25 04:47:46 258.77
         volume  action direction fill matching.event    type
37946  14590144 deleted       ask    0             NA unknown
37959  14166007 deleted       ask    0             NA unknown
37971 443553278 deleted       ask    0             NA unknown
42163   2812842 deleted       ask    0             NA unknown
36098 400000000 deleted       ask    0             NA unknown
38979 600000000 deleted       ask    0             NA unknown
      aggressiveness.bps
37946                 NA
37959                 NA
37971                 NA
42163                 NA
36098                 NA
38979                 NA

Histogram of limit order events:

Graph 6

Zoom in to 1-hour of activity

Click on image to enlarge.

The top of the graph depicts the ask side of the book, whilst the bottom depicts the bid side. Percentiles and order book sides can be separated by an optional subtle line for improved legibility.

Trade Impacts

An impact consists of 1 or more limit orders being hit in order to fulfil a market order.

      Min.    1st Qu.     Median       Mean    3rd Qu.       Max. 
 0.4215141  1.8057629  7.8131091 12.0017017 18.7804329 37.8578417