Reconstruction and Visualization of XETRA Orderbook Data. From Tool Creation to Trading Pattern Recognition

      Аннотация: The rising availability of orderbook datasets enables market participants as well as academic institutions to analyze market microstructure at an unprecedented degree of detail. The software libraries which are presented within this work allow the reconstruction and visualization of a proprietary XETRA DAX30 dataset made available thanks to Deutsche B?rse AG and the Institute for Investmentbanking and Catallactics. The goal of the preliminary reconstruction process is to obtain a cleaned and consistent dataset. Subsequently this dataset can be graphically represented and analyzed using the orderbook visualization tool. The main features of the tool are a continous zoom function and various filters to restrict visualization of orders. Thus it is even possible to identify some algorithmic trading strategies which can be highlighted by the application of implemented filter functions.

Ключевые слова: XETRA, csharp, Trading, Orderbook, High Frequency