Mini LOB (Limit Order Book) Project

Overview

The Mini LOB Project is a simplified simulation and analysis of a financial Limit Order Book (LOB). A LOB is a mechanism used by exchanges to match buy and sell orders for financial instruments. Understanding and modeling LOB dynamics is critical in high-frequency trading (HFT) and algorithmic trading research.

This project is designed to:

1. Simulate the basic behavior of a LOB.
2. Process historical or real-time market order data.
3. Compute key LOB features (midpoint, spread, imbalance, order flow, etc.).
4. Provide a foundation for modeling, analysis, and ML experiments in market microstructure.

This mini version is intended as a preparatory project before tackling a larger HFT LOB dataset.

---

Features

1. LOB Simulation (To Do)

• Simplified LOB implemented with bid and ask queues.
• Orders can be added, modified, or canceled.
• Tracks multiple levels of the book (level 1–5).

2. LOB Feature Extraction

Calculates key features used in market analysis and ML modeling:

• Midpoint price: (best_bid + best_ask)/2
• Spread: best_ask - best_bid
• Relative spread: spread / midpoint
• Imbalance: (bid_volume - ask_volume) / (bid_volume + ask_volume)
• Weighted distances for bid/ask levels
• Order flow: Number of buys and sells over time

3. Data Handling (work in progress)

• Supports CSV input of order-level data with timestamps.
• Data is sorted and cleaned for consistent LOB processing.
• Allows filtering and resampling for modeling purposes.

---

If you want to contact me and discuss any work please feel free to reach out at:

• nikhilsethu1@gmail.com
• https://www.linkedin.com/in/nikhil-sethu/
• https://github.com/n-sethu