Limit Order Book Simulation (June 10, 2019)
138K order events over 36 seconds with bid/ask prices, quantities, and actions — mid-price rises 0.9% then pulls back.
| # | timestamp | side | action | id | price | quantity | + |
|---|---|---|---|---|---|---|---|
| 1 | 0 | b | a | 0 | 9990 | 11 | |
| 2 | 0 | b | a | 1 | 9990 | 16 | |
| 3 | 0 | a | a | 2 | 9995 | 1 | |
| 4 | 0 | b | a | 3 | 9990 | 6 | |
| 5 | 0 | b | a | 4 | 9990 | 1 | |
| 6 | 0 | b | a | 5 | 9985 | 1 | |
| 7 | 0 | a | a | 6 | 10000 | 1 | |
| 8 | 0 | b | a | 7 | 9985 | 1 | |
| 9 | 0 | a | a | 8 | 10000 | 1 | |
| 10 | 0 | b | a | 9 | 9985 | 1 | |
| 11 | 0 | a | a | 10 | 10000 | 1 | |
| 12 | 0 | b | a | 11 | 9985 | 1 | |
| 13 | 0 | a | a | 12 | 10000 | 1 | |
| 14 | 0 | b | a | 13 | 9985 | 1 | |
| 15 | 0 | b | a | 14 | 9985 | 1 | |
| 16 | 0 | a | a | 15 | 10005 | 1 | |
| 17 | 0 | b | a | 16 | 9985 | 2 | |
| 18 | 0 | b | a | 17 | 9985 | 1 | |
| 19 | 22 | a | a | 18 | 10005 | 1 | |
| 20 | 22 | a | a | 19 | 10010 | 1 | |
| 21 | 22 | b | a | 20 | 9985 | 1 | |
| 22 | 22 | a | a | 21 | 10010 | 1 | |
| 23 | 22 | b | a | 22 | 9985 | 1 | |
| 24 | 22 | b | a | 23 | 9980 | 1 | |
| 25 | 22 | a | a | 24 | 10010 | 1 | |
| 26 | 22 | a | a | 25 | 10010 | 1 | |
| 27 | 22 | a | a | 26 | 10010 | 1 | |
| 28 | 22 | b | a | 27 | 9980 | 1 | |
| 29 | 22 | b | a | 28 | 9980 | 1 | |
| 30 | 22 | a | a | 29 | 10015 | 4 | |
| 31 | 22 | b | a | 30 | 9980 | 1 | |
| 32 | 22 | a | a | 31 | 10015 | 1 | |
| 33 | 22 | b | a | 32 | 9980 | 4 | |
| 34 | 22 | a | a | 33 | 10015 | 1 | |
| 35 | 37 | b | a | 34 | 9975 | 22 | |
| 36 | 37 | a | a | 35 | 10015 | 1 | |
| 37 | 37 | a | a | 36 | 10015 | 1 | |
| 38 | 37 | a | a | 37 | 10015 | 1 | |
| 39 | 37 | b | a | 38 | 9975 | 1 | |
| 40 | 37 | a | a | 39 | 10015 | 10 | |
| 41 | 37 | a | a | 40 | 10015 | 5 | |
| 42 | 37 | b | a | 41 | 9975 | 1 | |
| 43 | 37 | a | a | 42 | 10020 | 6 | |
| 44 | 37 | a | a | 43 | 10020 | 2 | |
| 45 | 37 | b | a | 44 | 9975 | 1 | |
| 46 | 37 | b | a | 45 | 9975 | 8 | |
| 47 | 37 | a | a | 46 | 10020 | 16 | |
| 48 | 45 | a | a | 47 | 10020 | 1 | |
| 49 | 45 | a | a | 48 | 10020 | 1 | |
| 50 | 45 | b | a | 49 | 9970 | 19 | |
| 51 | 45 | a | a | 50 | 10020 | 1 | |
| 52 | 45 | b | a | 51 | 9970 | 1 | |
| 53 | 45 | a | a | 52 | 10020 | 1 | |
| 54 | 45 | a | a | 53 | 10020 | 1 | |
| 55 | 45 | b | a | 54 | 9970 | 1 | |
| 56 | 45 | a | a | 55 | 10020 | 12 | |
| 57 | 45 | b | a | 56 | 9970 | 1 | |
| 58 | 45 | a | a | 57 | 10020 | 12 | |
| 59 | 45 | a | a | 58 | 10020 | 1 | |
| 60 | 45 | b | a | 59 | 9970 | 27 | |
| 61 | 45 | a | a | 60 | 10025 | 1 | |
| 62 | 45 | a | a | 61 | 10025 | 1 | |
| 63 | 64 | a | a | 62 | 10025 | 1 | |
| 64 | 64 | b | a | 63 | 9965 | 1 | |
| 65 | 64 | a | a | 64 | 10025 | 1 | |
| 66 | 64 | b | a | 65 | 9965 | 1 | |
| 67 | 64 | b | a | 66 | 9965 | 1 | |
| 68 | 64 | a | a | 67 | 10025 | 40 | |
| 69 | 64 | a | a | 68 | 10025 | 26 | |
| 70 | 64 | b | a | 69 | 9965 | 8 | |
| 71 | 64 | b | a | 70 | 9965 | 7 | |
| 72 | 64 | a | a | 71 | 10030 | 6 | |
| 73 | 76 | a | a | 72 | 10030 | 34 | |
| 74 | 76 | b | a | 73 | 9960 | 76 | |
| 75 | 76 | a | a | 74 | 10030 | 1 | |
| 76 | 76 | a | a | 75 | 10030 | 1 | |
| 77 | 76 | a | a | 76 | 10030 | 1 | |
| 78 | 76 | a | a | 77 | 10030 | 1 | |
| 79 | 76 | b | a | 78 | 9960 | 1 | |
| 80 | 76 | b | a | 79 | 9960 | 1 | |
| 81 | 76 | b | a | 80 | 9960 | 1 | |
| 82 | 76 | a | a | 81 | 10030 | 9 | |
| 83 | 76 | b | a | 82 | 9960 | 12 | |
| 84 | 76 | b | a | 83 | 9955 | 3 | |
| 85 | 76 | a | a | 84 | 10035 | 2 | |
| 86 | 76 | b | a | 85 | 9955 | 58 | |
| 87 | 76 | a | a | 86 | 10035 | 5 | |
| 88 | 116 | b | a | 87 | 9955 | 1 | |
| 89 | 116 | a | a | 88 | 10035 | 4 | |
| 90 | 116 | b | a | 89 | 9955 | 1 | |
| 91 | 116 | b | a | 90 | 9955 | 1 | |
| 92 | 116 | b | a | 91 | 9955 | 1 | |
| 93 | 116 | a | a | 92 | 10035 | 1 | |
| 94 | 116 | b | a | 93 | 9955 | 1 | |
| 95 | 116 | b | a | 94 | 9955 | 1 | |
| 96 | 116 | a | a | 95 | 10035 | 1 | |
| 97 | 116 | a | a | 96 | 10035 | 1 | |
| 98 | 116 | b | a | 97 | 9955 | 1 | |
| 99 | 116 | a | a | 98 | 10035 | 1 | |
| 100 | 116 | b | a | 99 | 9950 | 4 |
1–100 of 138813
Rows per page:
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Limit Order Book Simulation (June 10, 2019) — AI Analysis
Order Book Analysis
- Mid-price rose from 10,003 to a peak of 10,093 (+0.9%) at t=21s, then reverted to 10,053 by the end of the 36-second window
- Bid-side orders accounted for 60% of total volume (207,987 vs 137,964 shares on the ask side)
- Event rate spiked from ~1,200/sec in the first 5 seconds to 6,971/sec at second 18, suggesting a burst of algorithmic activity
- Spreads remained tight at just 5 ticks for 78% of samples, indicating a highly liquid market
- Order modifications were rare (1.6% of events), with most book updates being clean add/delete cycles
Order Flow Analysis
- 138,813 order book events in 36 seconds: 68,987 new orders, 67,656 cancellations, and 2,170 modifications
- Price rose from ~10,020 to peak ~10,102 at second 20, then fell back to ~10,025 — a symmetric V-shaped reversal
- Buy-side dominated with 62% of all events (86,679 vs 52,134 ask-side), and total bid volume exceeded ask volume 1.5:1
- Cancellation rate nearly matched new orders (98%), suggesting aggressive quote updating typical of high-frequency market making
- The most active price level was 10,065 with 10,217 events — the gravitational center of the order book
Visualizations
Event Count by Price Level
Bid vs Ask Volume Per Second
Order Events Per Second
Mid-Price Over Time