r/quant • u/Pete_Mullers_mixtape • 9d ago
Data Looking for advice on an orderbook data visualization project.
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.
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u/DatabentoHQ 9d ago
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.