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EspressoLover


Total Posts: 221
Joined: Jan 2015
 
Posted: 2016-11-30 20:30
Anyone know of a decent, open library for order book visualization. Particularly one that has good support for highlighting the specific position of (real or simulated) orders across time. I'm more concerned with support for historical playback rather than live trading.

glenn


Total Posts: 15
Joined: Sep 2009
 
Posted: 2016-12-01 04:26
.

glenn


Total Posts: 15
Joined: Sep 2009
 
Posted: 2016-12-01 04:42
I suspect that the R obAnalytics package is too rudimentary for your needs?

EspressoLover


Total Posts: 221
Joined: Jan 2015
 
Posted: 2016-12-01 13:20
Thanks for the suggestion. I'll give it a try. It may not be perfect, but still seems to have some potentially useful tools.

Ideally in my head, I'm visualizing the level book view that trading platforms give you. Then inside that some indication of the queue structured. Particularly the FIFO/matching position of the orders that are tagged as relevant. Put that all on top of a Netflix-style playback scroller, so you can arbitrarily rewind, slowdown or jump to specific times. Maybe have the option to select events you want highlighted on the scroll bar. E.g. bid/ask changes or trades over a certain size.

Finally you don't want to miss some 2ms flurry, so switch the option to scale playback either to real-time or event activity. But also if you're in one time space you want to be aware of the passage of the other, so use some sort of thermal color indicator to indicate how fast things are moving. Like if you're in event-time, and events are coming in every 100 microseconds, the real-time indicator should be blazing red hot.

Okay, at this point I'm just fantasizing. But man, this sounds awesome. Someone should build this! Wouldn't even be that hard on top of Qt. I wish I had an intern...

radikal


Total Posts: 253
Joined: Dec 2012
 
Posted: 2016-12-01 19:17
I built this with a friend in HTML/JS once upon a time 5-6 years ago. Read in MD via JSON and so was a bit sluggish for MD with > 500k ticks or so but the code wasn't super optimized and the tech has improved.

I thought at the time it would be useful to investigate and drill down microstructure-y things but I found myself never using it instead preferring to look at a pandas-table-like tick-by-tick view. (Which I built internally at an old firm, you'd ask for a start time / end time , symbol, date and it would query the h5 backend and slice you off the period you wanted -- there was additional filtering on the page to reduce backend network calls, so like grab a 5 min window from server, and then filter down to the 2ms you want on the client side)

My point is that this project grows pretty fast and to make something "better" than BB's QRM is a bit of a chore. I think there may exist some more modern tick-by-tick viewers for Bitcoin underwear traders, I'd try there if not finding anything

There are no surprising facts, only models that are surprised by facts

glenn


Total Posts: 15
Joined: Sep 2009
 
Posted: 2016-12-02 08:07
>>I think there may exist some more modern tick-by-tick viewers for Bitcoin underwear traders, I'd try there if not finding anything<<

Coincidentally, LOB Bitcoin visualisation have been the most recent topics on that R package author's blog

darkmatters


Total Posts: 66
Joined: Nov 2010
 
Posted: 2016-12-02 14:53
I won't say it's a library, but BookMap has an API for recording your own orders and the tick stream. We use it for Futures data. We worked with them a bit to design the API.

1) Heatmap view of orderbook depth
2) Ability to add your own orders to playback
3) Nanosecond resolution
4) Ability to add event type indicators (some type of image when an event happens)
5) Ability to add continuous indicators (a line for fair price or something like that)
6) A view of where your own orders are in the queue. The program itself uses the conservative queue model with cancels always behind you, but there is a way to update the queue position with your own model

We have been very happy with it, but it does cost money for licensing. It has paid for itself though with very quick debugging times for production issues and sim environment issues.

The API is Java, so I had to write some conversion software with JNI as the rest of our stack is written in C++, but not too big of a deal.

The team there is also very responsive if you have some specific improvements.

EspressoLover


Total Posts: 221
Joined: Jan 2015
 
Posted: 2016-12-05 16:22
@radikal

You may have a point here. Reading logs isn't that hard. Replay visualization probably doesn't add that much more insight than a few well-thought out R/pandas commands and plots. Thanks, for the insights.

@darkmatters

Awesome. That looks pretty promising, and seems to potentially cover a lot of what I'm looking for. Thanks!
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