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 订单簿方法实际工作原理
详细解析 CCXT WebSocket 订单簿方法：watchOrderBook、watchBidsAsks、watchOrderBookForSymbols。75+ 交易所实测结果。
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Mar 23, 2026 #订单算法交易中的订单类型：从追价限价单到虚拟订单
算法交易中订单类型的全面解析：标准交易所订单、追价限价单、基于时间的订单、虚拟/合成订单。附代码示例和实际案例。
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Mar 20, 2026 #订单簿墙内排队：订单簿密集区的挂单位置分析
理解自己在价格层级中的排队位置，如何将高频交易从猜测变为精确的工程问题
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Mar 22, 2026 #algotrading算法交易的K线类型与聚合方法
K线构建的双轴分类：17种基础K线类型（时间、成交笔数、成交量、美元、砖形、范围、波动率、Heikin-Ashi、卡吉、折线突破、点数图、TIB、VIB、游程、CUSUM、熵、Delta）× 3种聚合方法（日历、滚动、自适应）= 51种组合。附实现代码和实践建议。
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May 26, 2026 #deep-learningDeepLOB：在限价订单簿上做深度学习
DeepLOB 如何将 CNN、inception 模块和 LSTM 结合起来，从原始订单簿数据预测中间价的走向——其架构、真实的 FI-2010 数据，以及一份可运行的 PyTorch 复现实现。
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Mar 19, 2026 #fingerprint交易者的数字指纹：如何通过订单簿行为识别做市商
每个算法都会留下独特的指纹。学会解读它——你就能知道交易对手方是谁。
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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 #microstructure用机器学习对买卖价差进行建模与预测
用机器学习分解并预测买卖价差——从 Roll 的隐含估计量到梯度提升和神经网络——并揭示在生产环境中常常困扰人的单位、信息泄露和基准对比陷阱。
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May 18, 2025 #Desire Orderbook“意愿订单簿”概念：市场行为预测的创新方法
意愿订单簿——一种革命性的市场结构分析概念，基于预测市场参与者在实际执行前的潜在行为。
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May 9, 2026 #订单流Flowsurface：开源加密货币订单流分析平台
Flowsurface评测——基于Rust的免费桌面应用，实时可视化DOM热力图、足迹图、成交明细和深度梯子。支持Binance、Bybit、Hyperliquid、OKX和MEXC。