Order Book & Market Microstructure
How the order book really works — accessing the data, reading queue position, rebuilding bars from order flow, and modeling it with deep learning and Hawkes processes.
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Jun 3, 2025#CCXTCCXT: How WebSocket Orderbook Methods Really Work
Detailed breakdown of CCXT WebSocket methods for orderbooks: watchOrderBook, watchBidsAsks, watchOrderBookForSymbols. Real tests on 75+ exchanges.
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Mar 23, 2026#ordersOrder Types in Algorithmic Trading: From Limit with Chasing to Virtual Orders
A comprehensive guide to order types in algorithmic trading: standard exchange orders, chasing limit, time-based, virtual/synthetic orders. With code examples and real-world use cases.
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Mar 20, 2026#order bookQueue Inside the Wall: Analyzing Order Position in Order Book Density
How understanding your place in the queue at a price level transforms scalping from guesswork into an engineering problem
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Mar 22, 2026#algotradingBar Types and Aggregation Methods for Algorithmic Trading
Two-axis classification of candle construction: 17 base bar types (time, tick, volume, dollar, Renko, range, volatility, Heikin-Ashi, Kagi, Line Break, P&F, TIB, VIB, run, CUSUM, entropy, delta) × 3 aggregation methods (calendar, rolling, adaptive) = 51 combinations. With implementation code and practical recommendations.
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May 26, 2026#deep-learningDeepLOB: Deep Learning on Limit Order Books
How DeepLOB combines a CNN, an inception module, and an LSTM to predict mid-price moves from raw order book data — the architecture, the real FI-2010 numbers, and a working PyTorch reimplementation.
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Mar 19, 2026#fingerprintDigital Fingerprint of a Trader: How to Identify a Market Maker by Their Order Book Behavior
Every algorithm leaves a unique fingerprint. Learn to read it — and you will know who is on the other side of your trade.
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Aug 23, 2026#microstructureTrade Classification When You Have No Side Flag: Tick, Quote, Lee-Ready, BVC
Reconstructing trade direction from OHLCV, bar history, or venues without an aggressor flag — the classic rules, the stale-quote problem, bulk volume classification, and how to measure them against crypto's free ground truth.
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Aug 17, 2026#microstructureOrder Flow Imbalance: The Cont-Kukanov-Stoikov Event Decomposition
Turning raw book updates into a signed flow quantity: the CKS event decomposition, multi-level OFI with PCA reduction, and Lee-Ready trade classification — plus an honest accounting of what the headline R-squared actually measures.
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Aug 9, 2026#microstructureHawkes Processes for Order Arrival and Market Event Modeling
Fitting a self-exciting point process to real crypto trade tape: where the three numbers (mu, alpha, beta) come from, how to estimate the branching ratio n, whether the exponential kernel survives a goodness-of-fit test, and how much n moves when you change the estimation window.
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Jun 3, 2026#microstructureBid-Ask Spread Modeling and Prediction with Machine Learning
Decomposing and predicting bid-ask spreads with ML — from Roll's implicit estimator to gradient boosting and neural networks — with the units, leakage, and benchmarking pitfalls that bite in production.
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May 18, 2025#Desire OrderbookThe 'Desire Orderbook' Concept: An Innovative Approach to Market Behavior Prediction
Desire orderbook — a revolutionary concept of market structure analysis based on predicting potential actions of market participants before their actual execution.
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May 9, 2026#orderflowFlowsurface: Open-Source Orderflow Platform for Crypto Markets
A review of Flowsurface — a free desktop application built in Rust for real-time DOM heatmap, footprint charts, time & sales, and depth ladder visualization. Supports Binance, Bybit, Hyperliquid, OKX, and MEXC.