Order Book Graph

The Order Book Graph displays an aggregated order book of prices and associated sizes across time. For each time slice, it displays:

 

  • Price (as Height)
  • Tick Size (as Size)
  • Order Size (as Color)
  • Duration of Aggregated Orders at a given price (time period)

 

Figure 3-20. An order book graph displaying the top 10 levels of an orderbook across time.

 

Figure 3-21. An order book graph displaying a forward curve across time.

 

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