Research method
Order book depth
Order book depth is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The archive
Where the method has been read
Read in the archive7 readings
1991Testing dealer inventory caps against a frozen order tape2003Cheaper access still left a routing and cost problem2006Order-book depth and passive flow for execution2008Depth, close imbalances, and pairs on one clock2012Checklist exits and the limits of visible book depth2013Constructing forex orders from provider imbalance and book depth2017Ladder, trail, and average as one execution ticket
This registry entry describes a research method. It is not investment advice and does not make a performance claim.