Limit Order Book

Warning

Very rough code, thrown together very quickly in order to study limit order book dynamics/market microstructure. It is so rough in fact, that I will probably re-code it. Much of the mess is the result of various issues encountered along the way, most notably:

• Missing data: bitstamp's event stream frequently omits data which results in complicated order life-cycle management.
• Unordered data: data frequently appears out of order. For example, a cancel event followed by an add event.

Besides the code, the tool does however work and is quite usable.

<p align="center"> <img src="screenshots/animation.gif" alt="limit order book"/> </p>

Overview

This is an implementation of a Limit Order Book. It has 2 modes of operation: 1) It continuously reads from a stream of buy/sell order events (new order, modify order, cancel order) to produce a diabolical ascii chart of order book depth along with time and sales. 2) It can re-construct an order book from archived order book events. In both cases, a log file is kept from which 225 indicators can be extracted into a csv file with the supplied script (see running instructions). The intention of this project was simply to derive this .csv file for use elsewhere, hence the mess. I intend it to be a starting point for something better.

I do not have access to Level 2 quotes for a traditional ECN (typically this is very expensive due to the sheer volume of data and the potential advantage it can provide). So this implementation is based on data from Bitcoin exchanges, specifically streaming data via a websocket from Bitstamp. New (planned) implementation will abstract this away to a higher level protocol, FIX protocol?.

Building

Project uses maven. issue the following to build a stand-alone jar:

git clone https://github.com/phil8192/ticker
cd ticker; mvn clean install; cd ..
git clone https://github.com/phil8192/bitstamp-ws
cd bitstamp-ws; mvn clean install; cd ..
git clone https://github.com/phil8192/limit-order-book
cd limit-order-book; mvn clean compile assembly:single

Running

This has only ever been run on a 1920x1200 display; will fix this later. For now, change the font size so it fits. Ensure java is installed, then to consume from bitstamp's live orders stream:

./ob.sh true btcusd 2>/dev/null # real time (continuous scroll)
./ob.sh false btcusd 2>/dev/null # update screen once per second.
./ob.sh true 1>/dev/null 2>state.log # save ob state to a log file.

To later parse this log file into a csv, use the parse_ob.sh script:

./parse_ob.sh state.log ob.csv

(details/use of this .csv will be discussed in another project). head -1 the resulting .csv file to see the (hopefully) self descriptive header/field names:

event,ts,last_trade_ts,last_trade_price,last_trade_volume,last_trade_buy_or_sell,last_trade_taker,last_trade_maker,active_buys,active_sells,outstanding_buy_volume,outstanding_sell_volume,buy_impact,sell_impact,last_100_mo_buys,last_100_mo_buy_volume,last_100_mo_buy_max_volume,last_100_mo_sell_volume,last_100_mo_sell_max_volume,last_100_trade_buys,last_100_trade_buy_volume,last_100_trade_buy_trade_max,last_100_trade_sell_volume,last_100_trade_sell_max_volume,best_bid_price,best_bid_volume,best_ask_price,best_ask_volume,bid_percentile_vwap_1,bid_percentile_orders_1,bid_percentile_priceLevel_1,bid_percentile_volume_1,bid_percentile_vwap_2,bid_percentile_orders_2,bid_percentile_priceLevel_2,bid_percentile_volume_2,bid_percentile_vwap_3,bid_percentile_orders_3,bid_percentile_priceLevel_3,bid_percentile_volume_3,bid_percentile_vwap_4,bid_percentile_orders_4,bid_percentile_priceLevel_4,bid_percentile_volume_4,bid_percentile_vwap_5,bid_percentile_orders_5,bid_percentile_priceLevel_5,bid_percentile_volume_5,bid_percentile_vwap_6,bid_percentile_orders_6,bid_percentile_priceLevel_6,bid_percentile_volume_6,bid_percentile_vwap_7,bid_percentile_orders_7,bid_percentile_priceLevel_7,bid_percentile_volume_7,bid_percentile_vwap_8,bid_percentile_orders_8,bid_percentile_priceLevel_8,bid_percentile_volume_8,bid_percentile_vwap_9,bid_percentile_orders_9,bid_percentile_priceLevel_9,bid_percentile_volume_9,bid_percentile_vwap_10,bid_percentile_orders_10,bid_percentile_priceLevel_10,bid_percentile_volume_10,bid_percentile_vwap_11,bid_percentile_orders_11,bid_percentile_priceLevel_11,bid_percentile_volume_11,bid_percentile_vwap_12,bid_percentile_orders_12,bid_percentile_priceLevel_12,bid_percentile_volume_12,bid_percentile_vwap_13,bid_percentile_orders_13,bid_percentile_priceLevel_13,bid_percentile_volume_13,bid_percentile_vwap_14,bid_percentile_orders_14,bid_percentile_priceLevel_14,bid_percentile_volume_14,bid_percentile_vwap_15,bid_percentile_orders_15,bid_percentile_priceLevel_15,bid_percentile_volume_15,bid_percentile_vwap_16,bid_percentile_orders_16,bid_percentile_priceLevel_16,bid_percentile_volume_16,bid_percentile_vwap_17,bid_percentile_orders_17,bid_percentile_priceLevel_17,bid_percentile_volume_17,bid_percentile_vwap_18,bid_percentile_orders_18,bid_percentile_priceLevel_18,bid_percentile_volume_18,bid_percentile_vwap_19,bid_percentile_orders_19,bid_percentile_priceLevel_19,bid_percentile_volume_19,bid_percentile_vwap_20,bid_percentile_orders_20,bid_percentile_priceLevel_20,bid_percentile_volume_20,ask_percentile_vwap_1,ask_percentile_orders_1,ask_percentile_priceLevel_1,ask_percentile_volume_1,ask_percentile_vwap_2,ask_percentile_orders_2,ask_percentile_priceLevel_2,ask_percentile_volume_2,ask_percentile_vwap_3,ask_percentile_orders_3,ask_percentile_priceLevel_3,ask_percentile_volume_3,ask_percentile_vwap_4,ask_percentile_orders_4,ask_percentile_priceLevel_4,ask_percentile_volume_4,ask_percentile_vwap_5,ask_percentile_orders_5,ask_percentile_priceLevel_5,ask_percentile_volume_5,ask_percentile_vwap_6,ask_percentile_orders_6,ask_percentile_priceLevel_6,ask_percentile_volume_6,ask_percentile_vwap_7,ask_percentile_orders_7,ask_percentile_priceLevel_7,ask_percentile_volume_7,ask_percentile_vwap_8,ask_percentile_orders_8,ask_percentile_priceLevel_8,ask_percentile_volume_8,ask_percentile_vwap_9,ask_percentile_orders_9,ask_percentile_priceLevel_9,ask_percentile_volume_9,ask_percentile_vwap_10,ask_percentile_orders_10,ask_percentile_priceLevel_10,ask_percentile_volume_10,ask_percentile_vwap_11,ask_percentile_orders_11,ask_percentile_priceLevel_11,ask_percentile_volume_11,ask_percentile_vwap_12,ask_percentile_orders_12,ask_percentile_priceLevel_12,ask_percentile_volume_12,ask_percentile_vwap_13,ask_percentile_orders_13,ask_percentile_priceLevel_13,ask_percentile_volume_13,ask_percentile_vwap_14,ask_percentile_orders_14,ask_percentile_priceLevel_14,ask_percentile_volume_14,ask_percentile_vwap_15,ask_percentile_orders_15,ask_percentile_priceLevel_15,ask_percentile_volume_15,ask_percentile_vwap_16,ask_percentile_orders_16,ask_percentile_priceLevel_16,ask_percentile_volume_16,ask_percentile_vwap_17,ask_percentile_orders_17,ask_percentile_priceLevel_17,ask_percentile_volume_17,ask_percentile_vwap_18,ask_percentile_orders_18,ask_percentile_priceLevel_18,ask_percentile_volume_18,ask_percentile_vwap_19,ask_percentile_orders_19,ask_percentile_priceLevel_19,ask_percentile_volume_19,ask_percentile_vwap_20,ask_percentile_orders_20,ask_percentile_priceLevel_20,ask_percentile_volume_20,lowest_price,highest_price,total_bids,total_asks,total_bid_volume,total_ask_volume,last_100_cancelled_bids,last_100_cancelled_bid_volume,last_100_cancelled_bid_max_volume,last_100_cancelled_ask_volume,last_100_cancelled_ask_max_volume,total_mo_buy_vol,total_mo_buy,total_mo_sell_vol,total_mo_sell,b1,b2,b4,b8,b16,b32,b64,b128,b256,b512,b1024,s1,s2,s4,s8,s16,s32,s64,s128,s256,s512,s1024

Order book

Divided into 2 sections, the left hand side of the book shows the depth of BUY limit orders (bids), while the right hand side shows the depth of SELL (asks) limit orders. At the top of bid side of the book on the left is the current best bid, while the top of the ask side of the book is the current best ask. Each row is a price level, decreasing/increasing for the bid/ask side respectively. Each level consists of 5 columns: The percentage difference from the best bid/ask (the depth), the cumulative sum of volume/liquidity up until and including the price level, the number of orders enqueued at this price level, the amount of volume/liquidity available at this individual price level, and finally, the actual price of this this level. For example, on the bid side, and entry of: 0.42%, 157.40063272, 1, 59.68000000, 656.26, indicates that this price level is 0.42% less than the current best bid, 157.4 units of volume would need to be sold before this level is reached, there is 1 order at this level (to buy 59.68 units) @ 656.26 dollars.

Time and sales

Trades are shown on the right hand side, in the third column. The purpose of this implementation is to reconstruct/infer trades given a stream of bid/ask limit order events. These trades are the result of this inference: showing the trade direction (BUY = a buy market order hit an ask limit order) (SELL = a sell market order hit a bid limit order). The implementation can sometimes match makers to takers: A maker is an order to buy/sell placed at a price limit in the order book - i.e., the trader is providing liquidity, whereas a taker is an order to buy/sell that will not be placed in the order book (it will consume maker orders until it is filled) - the trader is said to be removing liquidity. As such they pay the price: the market spread.

Order book indicators

Last trade

event = 260 ts = 1402055269918 last trade: ts = 1402055221468 type = SELL amount = 0.85900000 btc @ $655.21 taker = 26538640 maker = 26538633

Shows the last "event" number, unix timestamp, last trade timestamp, last trade type (in this case SELL), amount (v