Bookmap features examples


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2		Here is series of events that occur at same price level.
3		Each row is a single market data event which can be either a book update or a trade
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5		Bid or Ask	Book update	Current book	Trade size	Cumulative trade size	Iceberg mark	Comments
6	1	Bid	100	100		0	0
7	2	Bid		100	20	20	0	the trade is lower than book size
8	3	Bid	80	80		0	0	regular trade, followed by reduction of the book size by 20.
9	4	Bid		80	10	10	0
10	5	Bid		80	25	35	0
11	6	Bid	45	45		0	0	regular trade, followed by reduction of the book size by 35.
12	7	Bid	70	70		0	0	regular order book update (added 25)
13	8	Bid		70	30	30	0
14	9	Bid		70	20	50	0
15	10	Bid		70	25	75	5	Cumulated trade size (75) is larger than the order book (70) before the trade series
16	11	Bid		70	10	85	15	Keep accumulating
17	12	Bid	30	30		0	15	An order book update. The hidden order can still be there
18	13	Bid		30	40	40	25	Added 10
19	14	N/A	0	0		0	25	The exchange deleted the best bid
20	15	Ask	50	50		0	0	This price became Ask, therefore The BUY Iceberg isn't there anymore


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2		The Delta column shows only the changes, that are visible on the chart. It resets Bid/Ask sides independently when Best Bid/Ask change. Bookmap assumes that every Trade data event is 'immediately' followed by corresponding Quote event that reduces the size by the same amount. Theoretically, if the corresponding Quote event didn't happen, it means that the size has increased simultaneously when the trade occurred. This is why Delta column shows positive Quote change between the Trade and the expected Quote update (which usually takes few milliseconds or less, but depends on the market data vendor)
3		Example: Here is series of events that occur at same price level. Each row is a single market data event which can be either a book update (quote) or a trade
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5		Bid or Ask	Book update	Current book	Trade size	Cumulative Trade size	Current Delta	Cumulative Delta	Comments
6	1	Bid		100					Assuming that this initial size 100 first appeared outside the chart range
7	2	Bid	80	80			-20	-20	Regular change: reduced by 20
8	3	Bid	130	130			50	30	Regular change: increased by 50
9	4	Bid		130	10	10	10	40	Trade of 10: temporal increase of Delta
10	5	Bid		130	25	35	25	65	Trade of 25: temporal increase of Delta
11	6	Bid	95	95			-35	30	Reduced by 35 due to the trade. Back to 30

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1	The below table demonstrates how Bookmap reconstructs trade size. It does not rely on Timestamps
2	Assume that this series of events occur at the same price, e.g. at Best Bid 2073.25
3	Each row is a single market data event which can be either an order book Size update at the above price, or a Trade
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5	The two timestamp columns represent scenarious where reconstruction by Timestamp FAILS
6	In the case #1 it would generate two trades of size 120, 77
7	In the case #2 it would generate one trade of size 197
8	The actual trades are of size 172, 25
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10	case #1 Time [ms]	case #2 Time [ms]	Book update's Size	Trade's Size	Cumulative trade size	Trade size on Bookmap	Comments
11	0	0	1000
12	0	0		20	20
13	0	0		100	120
14	1	0		50	170
15	1	0		2	172
16	1	0	828			172	This is where Bookmap "reconstructs" the trade size. When a new quote received, we know that the series of executions, caused by a single order has ended.
17	1	0		25	25
18	1	0	803			25
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21	The only disadvantage of Bookmap's method is that it requires data integrity and consistency with the data, sent by the Exchange (CME, Eurex)