Reconstructing and Viewing Order Book

[VA]

Greetings all, 

I am currently working on an order book reconstruction. I have a few ideas how to do it, but I am struggling to come up with an idea for how to actually view/chart it. Because it is a multidimensional table. 

For example, right now I am thinking of making a table like this: 

Price/Time	10:00	10:01	10:02
10	1	2	3
20		2	2
30	1	1	3

But, there are BID and ASK quantities and how exactly to table them and then view throughout time... no idea.

If I make the order book look like this: 

time					Px	time
5	4	3	2	1	0	1	2	3	4	5
					88.68299	1	1	1	1	1
					77.45233		5	5	5	5
					67.93601				1	1
					64.83352			3	3	3
					52.72378
1	1	1	1	1	35.29648
1	1	1	1		32.2256
1	1	1			23.20569
2	2				1.197277

then I have no idea how to view it. Essentially, I do not have a solid plan on the structure of the resulting Orderbook just yet. 

Any ideas and suggestions would be very much appreciated, I think this is a very interesting problem. 

[kuentang]

Please see attached. 

HTH,

Kim

This is indeed an old problem. See attached: 

[VA]

Hi Kim, 

Thank you your response. 

This is the structure that I have come to have as well. Colour will bring the 3rd dimension. However, interestingly, according to your table, prices went up half-way through the period (and then at the end as well) despite being sold off. I would imagine if there was such a pressure on selling the priced would definitely go down, not up...? 

[Kim Tang]

There were two news release and both were positive. Now we can discuss how we can categorize a news J. Enjoy the next one. I still have two more but they are more complicated and need a deep understanding of micro structure of an orderbook.

 

Kim

 

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[VA]

Which software do you use for visualising the order book? And do please post two more screenshots! This is incredibly interesting.

[VA]

And do your order books have market orders or just limit orders?