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: WebSocket order book metodlari aslida qanday ishlaydi
Order booklar uchun CCXT WebSocket metodlarining batafsil tahlili: watchOrderBook, watchBidsAsks, watchOrderBookForSymbols. 75+ birjada o'tkazilgan real testlar.
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Mar 23, 2026#ordersAlgoritmik Treydingda Order Turlari: Chasing bilan Limitdan Virtual Orderlargacha
Algoritmik treydingdagi order turlari haqida to'liq qo'llanma: standart birja orderlari, chasing limit, vaqtga asoslangan orderlar, virtual/sintetik orderlar. Kod misollari va real foydalanish holatlari bilan.
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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#algotradingAlgoritmik treyding uchun bar turlari va agregatsiya usullari
Sham qurilishining ikki o'qli tasnifi: 17 asosiy bar turi (vaqt, tik, hajm, dollar, Renko, diapazon, o'zgaruvchanlik, Heikin-Ashi, Kagi, Line Break, P&F, TIB, VIB, seriya, CUSUM, entropiya, delta) × 3 agregatsiya usuli (kalendar, siljuvchi, moslashuvchan) = 51 kombinatsiya. Amalga oshirish kodi va amaliy tavsiyalar bilan.
- 05
May 26, 2026#deep-learningDeepLOB: Limit order kitobida chuqur o'rganish
DeepLOB CNN, inception moduli va LSTM ni birlashtirib, xom order book ma'lumotlaridan mid-price harakatlarini qanday bashorat qiladi — arxitektura, haqiqiy FI-2010 raqamlari va ishlaydigan PyTorch qayta implementatsiyasi.
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Mar 19, 2026#fingerprintTreyderning raqamli barmoq izi: bozor yaratuvchisini order book xatti-harakati orqali qanday aniqlash mumkin
Har bir algoritm o'ziga xos barmoq izini qoldiradi. Uni o'qishni o'rganing — va savdongizning narigi tomonida kim turganini bilib olasiz.
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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#microstructureTartib oqimi nomutanosibligi: Cont-Kukanov-Stoikov hodisasining parchalanishi
Xom kitob yangilanishlarini imzolangan oqim miqdoriga aylantirish: CKS hodisasining parchalanishi, PCA qisqarishi bilan ko'p darajali OFI va Lee-Ready savdo tasnifi - bundan tashqari, R-kvadrat sarlavhasi aslida nimani o'lchaganini halol hisobga olish.
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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 Orderbook"Desire Orderbook" kontseptsiyasi: Bozor xatti-harakatini bashorat qilishga innovatsion yondashuv
Desire orderbook — bozor ishtirokchilarining haqiqiy amalga oshishidan oldin ularning potensial harakatlarini bashorat qilishga asoslangan bozor tuzilishini tahlil qilishning inqilobiy kontseptsiyasi.
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May 9, 2026#orderflowFlowsurface: Kripto bozorlar uchun ochiq kodli Orderflow platformasi
Flowsurface sharhi — real vaqtdagi DOM heatmap, footprint grafiklar, savdolar oqimi va depth ladder vizualizatsiyasi uchun Rust tilida yaratilgan bepul desktop ilova. Binance, Bybit, Hyperliquid, OKX va MEXC'ni qo'llab-quvvatlaydi.