Market micro structure

a new horizon for me.

It is all about that “now we have a complete order book, can we gain insights?”

input: an order book, second-by-second order history (the top five bids/asks with volumn; NOT just the best bid/ask), ideally limit orders also included.

output: predict dt time later, market will go up or down. (how to specify dt; up/dn gap?)

An intuitive paper is: Adaptive Strategies for High Frequency Trading, by Erik and others.

http://www.stanford.edu/class/msande444/2008/OrderBook.pdf

If we have more than 50% accuracy, we have an immediate trading strategy for market makers.

Market data

it is very hard to get (for free), so worthy to document them.

BGC has limited HF data for US treasury with very rich info, but only 10 min history, for information purpose.

JBookTrader hosts various data from CBOT globalEx, but they are encripted.

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