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8 Cards in this Set
- Front
- Back
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SingleBook
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SingleBook is a limit order market for US stocks
It is Nasdaq's vehicle for trading Nasdaq-listed stocks (such as INTC, MSFT, etc.) The system accepts priced limit orders Orders that can't be executed immediately are (usually) added to the book The dynamics of the market are described by messages that may be processed in real time (or analyzed off-line) |
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B/View
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A java program that reads the SingleBook message file for a stock and shows how the market evolved over a day
The market "movie" can played forward or backward, continuously or single-step The program can be downloaded at www.pages.stern.nyu.edu/~jhasbrou Preloaded with a day's worth of data for one representative stock |
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B/View: The initial screen
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The initial message is a summary of the day's market activity
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B/View: Continue Initial Screen
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The toolbar has buttons for displaying the market and navigating through the day
The book is shown on the left Executions (trades) are shown on the right |
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The book panel at
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Bids (unexecuted orders to buy) are in blue, arranged from low prices (bottom of the screen) to higher prices
-The best bid is $51.29/share for 200 shares Offers (asks, unexecuted orders to sell) are in red, arranged from high prices (top of the screen) to lower prices -Best ask is $52.32/share for 100 shares In black, bracketed, between the best (highest) bid and best (lowest) ask is the spread. -The spread is 52.32-51.29=1.03 Note: to navigate the screen, hit (go to) Msg# and enter "146" |
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The state of the book and book transitions
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The state of the book is completely specified by the unexecuted order that it contains
The book changes when orders are -submitted (added to the book) -cancelled (removed from the book) -executed To help see which order or part of the book is changing, B/View tags the last order to be submitted, cancelled or executed If we "Frame Forward" (single step) fro the last screen, we get.. |
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Hidden Orders
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A trader who submits a limit order can decide whether or not it is displayed (the default) or hidden.
A hidden order is held in the books and is available to be executed. We can only see them when they are executed For orders at the same price, displayed orders have priority over hidden orders In the SingleBook message stream, executions against hidden orders are reported B/View shows where the hidden orders were in the book Next slide: an execution against a hidden order |
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Grouped Executions
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An incoming marketable order may execute against multiple standing orders
Next slide: -A sell arrives for 200 shares priced at 52.05 -It executes against two 100 share buy orders -This results in two execution messages B/View groups executions that appear to have been caused by one incoming order |
