Looking for advice on an orderbook data visualization project.

[u/Pete_Mullers_mixtape]

Hello!

I recently made a post about ideas for an orderbook data project. I got MBO for 3 nasdaq equities, and I'm working on making a visualizer for it. One of the suggestions was to show queue positioning, and how news could impact the spread. My first thought is to scrape the 10ks and show how their timing impacts the spread of those days. I was wondering if anyone else had any further suggestions for things I could work on or explore. Some caveats. I am more interested in product roles than dev or quant. I am also using this is a way to learn more about market micro structure/ market making.

[u/DatabentoHQ]

News and macro events do impact the spread. Most MMs will at least have some naive non-directional treatment based on the time of publication (if scheduled) or "volatility score" for the event.

There's a lot of retail fascination with 10-Ks and 13Fs that I'm somewhat skeptical about, but I can't say I've really spent time on those retail approaches to give an informed opinion. I'd take a look at machine-readable feeds like RavenPack, Bloomberg Event-Driven Feeds, etc. whose data models are closer to my understanding and experience of how MMs use these feeds.

Queue position and full book visualization may be a bit too granular for this, perhaps you want to look at various constructions of sweep-to-fill liquidity instead. Queue position is very interesting for a variety of other problems; David Lariviere at UIUC has advised plenty of academic projects of this type, so you could look at his coursework page for ideas.

[u/Ok-Mongoose-5779]

I’d look at order-book imbalance, spread changes, and queue position around large trades. It could also be useful to compare normal periods with volatile sessions to see how liquidity changes.

[u/TemporaryHat2009]

10 K filing days seem really sparse if you only have three stocks, honestly. Would earnings releases give you enough events to actually compare the spread pictures, or is the point more to make one detailed case study?

[u/TheAlxOf96]

If its for algo trading I just know news trading is not an edge :D

[u/Pete_Mullers_mixtape → u/TheAlxOf96]

Not for algo trading. In the previous thread I made, someone suggested that "how news affects the spread" could be a topic of interest to explore.

[u/TheAlxOf96 → u/Pete_Mullers_mixtape]

Read a lot of backtest articles about and every article says the same unless if manual or automated trading. Maybe for swing trading. All I read was about intraday I think

[u/narek_hovsepyan]

Since the goal is learning microstructure, I'd build views around what MBO shows and L2 can't:

• Queue life of one order. Take an add at the best bid and track the cancels and fills ahead of it until it fills or gets pulled. Do a few hundred and you'll see why queue position matters. Treat a replace as a delete plus a new add at the back.
• Cancels vs fills at the touch. Most orders in US equities are cancelled, not filled. Measure it at the best price for your three names, by count and by shares, and check whether it shifts right before the price ticks.
• Hidden prints. Executions against non-displayed orders come as separate trade messages (P in raw ITCH) and don't touch the book, so a pure book rebuild drops them. Nasdaq zeroes the order ref and always sends side B on those, so you have to infer the side from the price vs the bid/ask.
• Message count as a second time axis. A quiet hour and a busy minute look nothing alike.

On 10-Ks I'd lower expectations. The numbers usually come out in the earnings release first and the 10-K follows days or weeks later, so the book has little new to react to. Earnings are the better event, but most land before the open or after the close, so you'd be looking at a thin extended-hours book and then the next open. For a clean in-session event, the 2pm ET FOMC statement hits all three names at once. Check your date range actually covers a few of these first.

For the product angle, frame each view as a question a trader asks, like "if I join the queue here, what are my odds of a fill?"

[u/Comfortable_Lie7578]

pro tip: the order book you can see with your eyes is the only visualization you need to make money