Order Books & Mechanics

Read these first

1. 01How a Matching Engine Works

   The matching engine is the only place a trade actually happens. It is a deterministic, single-threaded loop that takes messages in a fixed sequence, applies each one to an in-memory book, and emits the fills and quote updates the whole market then sees.

2. 02Modelling Fill Probability for a Resting Order

   A passive order is a race between two clocks, the queue in front of you draining, and the price walking away. Estimating who wins is what decides whether you post or cross.

3. 03The Microprice

   The mid-price sits halfway between the bid and the ask no matter how lopsided the book is. The microprice weights it by queue sizes, giving a fair value that leans toward the thin side, which is the side about to be eaten.

Then the rest

1. 04Add, Cancel And Execute: The Event Alphabet
2. 05Level 1, Level 2 And Level 3 Market Data
3. 06Stop And Stop-Limit Orders
4. 07Time In Force: Day, GTC, IOC And FOK
5. 08Book Resilience And Replenishment
6. 09Depth At Touch And The Shape Of The Book
7. 10Detecting Hidden Liquidity
8. 11Large-Tick Versus Small-Tick Stocks
9. 12Order Arrival And Cancellation Intensities
10. 13Order Book Features For Machine Learning
11. 14Pegged, Midpoint-Peg And Discretionary Orders
12. 15Pro-Rata And Size-Pro-Rata Matching
13. 16Rebuilding The Book From A Message Feed
14. 17Why Order Flow Is So Autocorrelated
15. 18Agent-Based Market Simulation
16. 19Market-By-Order Versus Market-By-Price Feeds
17. 20The Queue-Reactive Model