Recent content by johncona

Without getting into the terminology ("depth" has a formal and informal definition), there are plenty of papers and math models about market micro structure that seeks to determine whether market depth contributes to future filled price - see e.g...

John here... Quick intro, as per the proddings of this site: I am here so I can get answers to my dumb-ass questions about micro market structure. I know a lot of the math (in a PhD program), and a lot of the software, surrounding trading, but am not a trader. So bull with me....man that was...

limit order book - data I am interested in agent based modeling, and my market models have morphed more and more into those of micro market structure. Where can I get (free) limit order book data (for any exchange or ECN)? It does not have to be real time, but I would be new to the file...