limit order book

[sc7936]

Hi,

I keep hearing how a limit order is useful for algorithms but can someone give a practical example? My second question is can it 100% replicate the market given all the timestamp issues and whatnot, and if there is even a slight margin of error, then what use is it?

Thanks

 

[Risk619]

Personally I don't find much use in it, primarily because of cancellations, ice bergs, and dark ice. I think when people see the order book the don't realize that they're not seeing the order book.

I think a lot of folks who use the book are thinking back to previous iceberg / hft days.

 

[eusdaiki]

the order book can give a lot of information about the context of the market at a particular time...
the L2 feed is several times the size of any of the other market feeds.
More data is good when you're putting together machine learning systems.