Understand the orderbook like a quant
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- čas přidán 27. 07. 2024
- What is an orderbook? Here I explain all THREE levels of the orderbook intuitively from a quant-dev perspective, placing more emphasis on the third level with an concrete example.
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Orderbook Series: • C++ Orderbook Series
MBP vs MBO: www.cmegroup.com/education/ma...
Prorata: www.cmegroup.com/confluence/d...
00:00 intro
00:42 what is an orderbook?
00:57 example
01:32 L1 (bbo)
02:05 best-bid best-ask
03:09 L2 (mbp)
05:10 L3 (mbo)
07:48 prorata allocation
Orderbook cpp c++ code what is an orderbook financial assets securities financial management finance fintech quant quantitative priority financial instruments whiteboard market by price market by order understand like a quant all three levels 3 levels - Věda a technologie
I'm a quant researcher for one of the asset managers. And Coding Jesus's content is really the most interesting and insightful available for free.
dude howwwww do i break in quant trading? i go to a non-target studying compsci specialising in AI. im graduating this summer, do u know if it's possible to get recruited say 6-12 months after graduation? i want to spend 6-12 months self studying heavy heavy math & quant strats, would that be a bad idea?
@@fadedsedated it really depends on what you want to break in. For quant research, I suggest you look into grad school. Most firms will only consider master + phd. For quant dev, it’s down to networking and passing interviews. For me, I got my master from a target school, so I’ve been having internships even before graduation. I worked on building hedging alpha using L2 order book data. Then graduate into portfolio optimization position. It’s not a straight line for me either
@@fadedsedated heavy math yes, programming yes, quant strat just the basic like markowitz optimization. No one expects you to come into an interview with a working strategy. Most things you can find online doesnt work in practice, that’s why you can find them lol
@@dangkhoatrannguyen6734 awesome - so it's not like trading firms would look at someone 6-12 months out of a non-elite university and reject them? as i've heard that they look specifically at current students for their next recruits
Hi, that is so interesting, tell me how to be a quant trader for hedge funds plz
This Man is heaven sent.
great quality content for quant devs, keep em coming. not many people are making content related to the quant space
You did a bit of a mixup - L2 is a representation of the aggregate quantity offered at each price. All offers/bids at a certain price are lumped to one number, easy to read. L3 is just a breakup of this number that represents each participants size. It's the same number as level2 but just broken into a long chain of the small individual orders that came to the market. You were not wrong but you presented it in a confusing way. Thanks for your videos
As someone who’s seen all of your videos in the early days, let me congratulate you on how good your teaching didatics has become. Amazing work man!
Great content! Waiting for more videos on the order book, amazing stuff 🔥
Great Content CJ, keep dropping these Gems, can't wait to Join and receive every Bit of information you release, Stay Gold 💯
Thank you really much Jesus, that was a really helpful video. It would be awesome to be have more of this theoretical video types. Really appreciate your teachings ^^
Your back! You were gone for like two years man. Good to have you back, is this the second coming then? 😀
Where in the hell have you been Jesus? Glad to see your return just like you promised you would.
He is risen!
Jesus is King! 💛
Simple and informative! Thank you
Top tier content. Thanks buddy!
Gold❤
Thanks alot really appreciate your content
Great explanation.
Can you please make a video on the future about book-map? Thanks for the awesome content tho! Keep it up😊
The most important thing to learn about the order book is the reason its there... For quants to front run and scalp.
Thank you
@Coding Jesus. New to the channel, very informative, thank you
🔥 never knew about prorata
Great stuff as always, on point! Would be amazing if you could do a video on how to measure latency, especially inside a trading server, from nic up to user space and software :)
As a qd, do you think platforms like bookmap that visualize orderbook like a heatmap and have addons like iceberg detectors can give retail a robust edge or it's just glorified technical analysis?
Great and Intuitive video, when are you dropping the next one on this topic
Gotta love that smug look in the thumbnail! All hail our savior!
Thank you for the video. Could you please recommend any books related to order types and different exchanges queuing algorithms? I’ve read some books about HFT but there isn’t much information about L3 analysis and exploitation
How about addressing spoof orders on the order book? How do you deal with that?
Which book is best to learn about these market microstructures and technology and exchanges. More technical books?
good question, speaking as an outsider I would also like to know.
Hey, thanks for the video! A question about prorata: if i come 8 hours before opening and willing to buy 5 units of the asset, and you come one second before opening and you’re willing to buy 10: if the seller has 7 units to sell, would you get the 7, or would you get 5 and 2 for me, or 6 and 1.
Because at the point of selling the 6th unit, we would both still be willing to buy 5, since i came first, maybe i am granted the right to buy over you. Is that how prorata works?
Thanks for your content
Gamestop would sell 7 / 10 = 70% of their allocation to me. so I buy 7 * 0.7 = 5, you get the remaining 2. I explained Prorata as Price-Size priority when it's really Price-Share priority. I'll clarify in a future video.
Love the video, the only word i understood was Gamestop.
I came here for technical analysis - and i got it - head and shoulders all the way through the end.
could you do ore vids on market making algos for market makers
welcome back man, did you forget your account password or something.
👍👍🔥🔥
I DID NOT UNDERSTAND ANYTHING
What's the utility of "code an orderbook," though? A real one would be implemented as a giant complex of interacting components, not just a clean set of classes. It's like saying, let's implement core accounting system for a bank and it's just some customer, account and entry classes.
Not really, you can code an order book on Solana all in a single SLP
@@johndoe1646 I'd rather see that tutorial, instead...
Brother, I believe you have an LCD burn on the top-middle of your screen. I thought it was my screen, lol.
Ok we understood the Bid and Ask scenario, now How do we know if the bid and ask hold? For how long? If you have a broker account its way better to explain there. I am a level 2 reader and I trade equities and options, my downside is I can’t Identify how long the order that can hold the BID or Ask . If I saw a buyer on big size lots. Its hard to tell how long this buyer will hold this position. If you can explain even more. Thanks
Like on GME right now , Roaring kitty still holding the support at 20$ a share, Now if Roaring kitty starts selling his share whats the signal on this. Without waiting for the news? Do you have resources for that? As a quant analysts.
how do traders read the lvl 2 and make trade decisions based on it?
I used to do it well 25 years ago. In low to medium volume stocks you can see where larger orders are, and by also glancing at time and sales you can see how stock is being bought or sold or how that large order block is supporting the stock (until it gets worked through). In high volume stocks the book is so big that it is usually just two stacks of giant numbers at various prices a penny apart and I'm not sure how people use lvl 2 for an edge there unless you can parse out which orders are real and which ones are fake (posted for a split second). So, basically, if some of the large posted orders are real (and not just posted and deleted to lure people in) then you can trade in front of those prices. In my experience, however, that game changed and there was a more sophisticated manipulation of the order book to "look" a certain way so I stopped looking at lvl 2. I am sure some people can still make sense of it as it is a skillset, but my edge with it evaporated. Hope that helps. As for programming with it...
@@GraniteQuarrier so you're trying to front run the big market moving orders on small/med volume stocks?
@@harchitb Yes especially when there were larger visible orders. Obviously, sometimes they get filled and everyone recalibrates or panics quickly. I imagine nowadays there are many more ways of faking the look of the level 2 so don't trust it too much. Do you program?
@@GraniteQuarrier yeah computer science background but never explored algo trading
mazel tov baba
"gtfo noob". Love the video:)
really is a bear market. if we getting this ghey
Gayiest man alive 😂
Why hide your handome features behind the beard? You look stunning.
Still unprofitable lol. 😂😊
Useless content unless you’re a High frequency trader
W content Coding Gigachad 24x7 Mewing Jesus
of what use is orderbook? if you dont have L4