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Orders and events
Additions, cancellations and trades change an order book. The same displayed prices and quantities can result from different event histories, with different implications for an order’s position in the queue.
Read the preprint overviewMarket observations
The QNTUSDT study compares quoted spreads and displayed quantities across seven historical snapshots. It describes the sample, the calculation conventions and the differences between price and quantity measures of liquidity.
Read the studyReproducible examples
Aurora Lab uses constructed inputs to make assumptions about event order and queue priority visible. Change one condition, compare the result and inspect the accompanying explanation.
Open Aurora Lab