Glossary¶

Brief definitions of the market-microstructure jargon used throughout ob-analytics. Each entry links to the relevant API or concept.

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. Extracted from the depth summary via get_spread.

Mid-price : (best_bid + best_ask) / 2. Reference price for measuring order aggressiveness in basis points.

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.

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.

Data formats¶

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.