{
  "id": 1161,
  "title": "Limit order book",
  "url": "/competitions/AlgorithmicTradingChallenge/discussion/1161",
  "author_name": "",
  "post_date": "2011-12-14T22:00:21.187Z",
  "votes": null,
  "comment_count": 1,
  "views": 2240,
  "content": "<p>I'd be curious if anyone has explored assembling the limit order book from the data provided. &nbsp;It seems that the magnitude of the shock (price change) and how quickly it reverts to normal is going to be related to limit orders in the book that can be filled\r\n to meet the request. &nbsp;With that said, I'm not certain there is enough information.</p>\r\n<p>As an example, with the exception of the bid/ask we are ask to predict, there is no information on volume of trades coming in, only that a trade occurred. &nbsp;One may be able to infer the type of previous trades based on the subsequent price movement, but without\r\n volume information, it's difficult to judge the magnitude or how depleted the limit order book is for meeting order request we are ask to predict. &nbsp;</p>\r\n<p>thoughts?</p>",
  "messages": [
    {
      "id": "7154",
      "postDate": "12/14/2011 22:00:21",
      "content": "<p>I'd be curious if anyone has explored assembling the limit order book from the data provided. &nbsp;It seems that the magnitude of the shock (price change) and how quickly it reverts to normal is going to be related to limit orders in the book that can be filled\r\n to meet the request. &nbsp;With that said, I'm not certain there is enough information.</p>\r\n<p>As an example, with the exception of the bid/ask we are ask to predict, there is no information on volume of trades coming in, only that a trade occurred. &nbsp;One may be able to infer the type of previous trades based on the subsequent price movement, but without\r\n volume information, it's difficult to judge the magnitude or how depleted the limit order book is for meeting order request we are ask to predict. &nbsp;</p>\r\n<p>thoughts?</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "7155",
      "postDate": "12/14/2011 22:11:11",
      "content": "<p>I really don't think there is enough information to do that, but feel free to prove me wrong.&nbsp; You're basically talking about data mining/predicting the limit book from fairly sparse data, and then based on that predicting the stock prices.&nbsp; That seems like\r\n too much to me.&nbsp; However, given the scores some people are coming up with that kind of thinking might be what it takes to win.</p>",
      "rawMarkdown": "",
      "votes": null
    }
  ],
  "comments": [
    {
      "id": 7155,
      "author_name": "mathewzip",
      "author_url": "",
      "post_date": "12/14/2011 22:11:11",
      "content": "<p>I really don't think there is enough information to do that, but feel free to prove me wrong.&nbsp; You're basically talking about data mining/predicting the limit book from fairly sparse data, and then based on that predicting the stock prices.&nbsp; That seems like\r\n too much to me.&nbsp; However, given the scores some people are coming up with that kind of thinking might be what it takes to win.</p>",
      "votes": null,
      "replies": []
    }
  ],
  "raw_markdown_by_id": {
    "7154": "",
    "7155": ""
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  "source": "meta"
}