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Author Topic: [Prototype phase] Orderbook Dynamics Charts (useful for HFT/algo analysis)  (Read 772 times)
Sapphire (OP)
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September 20, 2016, 07:42:02 AM
Last edit: September 24, 2016, 04:00:25 PM by Sapphire
 #1

Hi everyone!

I've been developing trading charts that display orderbook dynamics, i.e. how orderbook changes with time. They help seeing how tens of orders are being created, removed and moved from price level to another, all that real-time. Below you can see some screencasts of that in action.

Features.
  • See the orderbook activity represented visually.
  • Watch bots activity, all HFT micro-events on a millisecond scale get charted.
  • Analyse algo-trading patterns of other players on the market.
  • Notice orderbook manipulation activity from bigger players.
  • Real-time

Examples.

Every line on the chart represents an order in the orderbook. Lines are colorized according to the order size.
Yellow to red lines are asks. Yellow ones are small. The redder the color, the bigger the ask size.
Blue to green are bids. Blue bids are small. The greener the color, the bigger the bid size.
White circles are actual trades.

https://media.giphy.com/media/l3vR00ELKedHdVFeg/giphy.gif

Notice bots moving their orders in funny patterns:

https://media.giphy.com/media/l3vRerNLKVThcF1e0/giphy.gif

Zooming in to a larger scale:

https://media.giphy.com/media/3o6ZtrBGky13QE4B9u/giphy.gif

HFT activity, the bots are playing in the orderbook:

https://media.giphy.com/media/l3vQX97lr7kWIA5xe/giphy.gif

Contact me

Let me know if anyone is interested in the charts.

I'm accepting investments to speed up the development and provide the charts as a product. PM if you're interested in investing.


Cheers!
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Sapphire (OP)
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September 28, 2016, 02:10:55 PM
 #2

Anyone? Smiley
coinableS
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September 29, 2016, 01:52:39 AM
 #3

Very unique and interesting implementation! You go through about why they are different colors, but why are some lines longer than others? Is it the time that the order is available, and when it ends the order was removed?

Sapphire (OP)
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September 29, 2016, 03:26:20 AM
 #4

Very unique and interesting implementation! You go through about why they are different colors, but why are some lines longer than others? Is it the time that the order is available, and when it ends the order was removed?

Exactly. So very short lines are orders that exists only for a tiny while. Do you have any specific use case in mind for these charts?
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