November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Limit order book
A limit order book is very similar in spirit to the exchange order book. The only difference is that this is built by the market participants based on the market data that is being sent out by the exchange in response to market participants sending orders to it. The limit order book is a central concept in all algorithmic trading, and one often found in all other forms of trading as well. The purpose is to collect and arrange bids and offers in a meaningful way to gain insight into the market participants present at any particular time, as well as gain insight regarding what the equilibrium prices are. We will revisit these in the next chapter when we dig deeper into technical analysis. Depending on what information the exchange ...
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