Mutual Information between Order Book Layers

2022-08-02T11:53:19+00:00

ContentOrder book in securities tradingThe Order Book and LiquidityAssociated DataLevel 2 Data Thus, different aspects of the market may come into play for different trading scenarios. Additional layers are price points that are further away from the bid–ask. The bid–ask layers change continuously throughout the day based on supply and demand, resulting in shifts in [...]