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.