Glossary¶

Brief definitions of the market-microstructure jargon used throughout ob-analytics. Each entry links to the relevant API or concept. For a from-scratch introduction, start with the tutorial chapter From a price to an order book.

Exchange mechanics¶

Exchange / bourse : A venue where strangers trade a standardized instrument by posting firm, standing offers instead of haggling pairwise. The public list of those offers is the order book.

Matching engine : The exchange's neutral component that pairs compatible buy and sell orders under fixed, published rules and reports the resulting trades.

Continuous double auction : The market design run by modern exchanges: both sides post offers ("double"), and matching happens the moment offers become compatible, all session long ("continuous") — rather than at a scheduled auction time.

Price–time priority : The standard matching rule: better-priced orders trade first, and at the same price, earlier arrivals trade first. The within-price queue it creates is what Level 3 data (and the queue engine) lets you reconstruct.

Market data levels¶

Level 1 (L1) : The top-of-book summary: best bid, best ask, and last trade. What brokerage apps and tickers show as "the price".

Level 2 (L2) — market by price : The full ladder of price levels with aggregate size at each level. Individual orders are summed away.

Level 3 (L3) — market by order : Every individual order with its own identity and queue position — enough to replay arrivals, cancellations, and fills exactly. Also called market-by-order (MBO) data. This is the resolution ob-analytics reconstructs from Bitstamp and LOBSTER feeds.

Best bid / best ask : The highest standing buy price and lowest standing sell price. The ask minus the bid is the spread; their average is the mid-price.

Last trade : The most recent execution's price — the number headlines call "the price", which can move without any trade (see the flash example in the tutorial).

Order book mechanics¶

Limit order : An instruction to buy (bid) or sell (ask) at a specified price or better. Sits in the book until matched, modified, or cancelled.

Market order : An instruction to execute immediately against the best available counter-side liquidity. Modeled in this package as a limit order whose price crosses the spread on arrival.

Maker / taker : The maker is the resting side of a trade (the limit order that was already in the book); the taker is the aggressive side that crossed the spread to consume it. See the maker_event_id / taker_event_id columns documented in Data Contracts.

Spread : Best ask price minus best bid price, in ticks — see Tick size below. Extracted from the depth summary via get_spread.

Mid-price : (best_bid + best_ask) / 2, in ticks — see Tick size below. Reference price for measuring order aggressiveness in basis points.

Tick size : The instrument's minimum price increment, in quote currency. Every price column is stored as a whole number of ticks (int64), not a float in the quote currency; multiply by PipelineConfig.tick_size to recover the quote-currency price.

Basis point (BPS) : 1/100 of a percent. The depth summary bins liquidity into rings of depth_bps width around the mid-price; see PipelineConfig.depth_bps.

Order classifications¶

Produced by set_order_types, which assigns one of six categories.

Unknown : The initial, unclassified state. Remains on any order that fits none of the other categories once classification finishes; set_order_types logs a warning when this happens, since it signals a classification gap rather than a normal outcome.

Pre-existing : An order first seen part-way through the stream, with no created row — the opening book at capture start, or a hidden execution. Structurally unclassifiable rather than a classification failure, so it gets its own category instead of falling back to unknown.

Resting limit : A passive limit order that sits in the book and is eventually filled or cancelled without ever crossing the spread.

Market : An order that crosses the spread on arrival and executes immediately.

Market-limit : A limit order that crosses on arrival but, after partial fills, comes to rest as a passive order at a price inside the book.

Flashed-limit : A limit order that is created and cancelled within a very short window without ever filling. Common in HFT quote-stuffing patterns.

Flow toxicity¶

Implemented in flow_toxicity.

VPIN — Volume-Synchronized Probability of Informed Trading : Easley, López de Prado, & O'Hara (2012). Bucket trades by equal volume, classify each bucket as buy- or sell-driven, and report the rolling absolute imbalance. High values (≳0.7) signal informed-trader pressure.

Kyle's lambda (λ) : Kyle (1985). Slope of Δprice ~ signed_volume regression over a rolling window. Higher λ → less liquid market (more adverse-selection cost per unit of order flow). Returned as a KyleLambdaResult with the regression DataFrame attached.

Order flow imbalance (OFI) : Per-window net buy-minus-sell volume normalised by total traded volume. A short-horizon proxy for directional pressure.

Pipeline concepts¶

Canonical events / trades frames : The venue-independent DataFrames every pipeline stage consumes, defined by the column contracts in Data Contracts. Once frames pass the validators, downstream code cannot tell which venue they came from.

Loader : Produces the canonical frame for a source, via create_loader. An L3 source's create_loader returns an EventLoader, whose load() returns a validator-passing events frame; an L2 source returns a DepthSource, whose load() returns the depth frame directly, since a price-level feed has no per-order events to fold. One per venue dialect.

Trade source : The companion protocol for executions: load(events, source) returns the canonical trades frame with maker/taker attribution.

Metric : A measurement taken from a finished run — registered under a name in METRICS, computed on demand by result.metric(name), and drawn as a level-less plot under that same name. See Metrics and Extending.

Data formats¶

Matched book : An L3 feed produced by the venue's own matching engine (LOBSTER, exchange MBO feeds): bids can never rest above asks, so an uncrossed book is a guaranteed invariant of the data.

Diff feed : An L3 feed reconstructed from a public placement/cancellation stream (the Bitstamp feed used here). It can contain genuinely crossed resting orders; order_book() replays such feeds faithfully — a crossed book in the output is a property of the feed, not a reconstruction bug. See the pitfall note in L1 → L2 → L3 and the Data quality explainer, which shows how to measure the crossing (audit) and uncross it for display (uncross=).

Bitstamp CSV : One row per order event with columns id, timestamp, exchange_timestamp, price, volume, action, direction. The pipeline also expects a sibling trades.csv with live-trade columns (trade_id, timestamp, price, amount, buy_order_id, sell_order_id, side, …) — see scripts/collect_bitstamp_btcusd.py.

LOBSTER : Lim-Order-Book-System-The-Efficient-Reconstructor data set (lobsterdata.com). Provides paired message and orderbook CSV files; integer prices in ten-thousandths of a dollar; timestamps in seconds-after-midnight. Event types 1–7 cover submissions, cancellations, executions of visible/hidden liquidity, cross trades, and trading halts.