Query, Reconstruct, and Analyze Level 3 Order Books Across US Equity Venues
Effective order book analysis requires detailed market data, point-in-time reconstruction, continuous replay, and the ability to compare liquidity across venues.
In this practical workshop, Peter Simpson demonstrates how to use OneTick Cloud to analyze historic US Level 3 order book data with SQL, Python, and OneTick dashboards.
The session covers the full analysis workflow, from exploring individual order messages to calculating market microstructure metrics and creating consolidated order books across selected US equity venues.
What You Will Learn
Watch the session to learn how to:
- Query trades, quotes, and Level 3 order messages using SQL and Python
- Follow individual orders through additions, modifications, partial fills, fills, and cancellations
- Calculate order counts, order-to-trade ratios, and order duration
- Reconstruct an order book at a specific point in time
- Analyze every book update or generate periodic book snapshots
- Filter order books by price level, accumulated size, price skew, or spread
- Calculate volume-weighted average price, effective spread, and time-weighted metrics
- Consolidate order books across selected US equity venues
- Replay market activity visually to investigate liquidity, order flow, and unusual behavior
Who Should Watch
This workshop is designed for:
- Quantitative analysts and developers
- Market microstructure researchers
- Market data and trading technology teams
- Trade surveillance and compliance analysts
- Data engineers working with tick and order book data
About the Session
OneTick Cloud provides access to market data and analytics in the same managed environment. During the workshop, Peter uses historic US equity data to show how analysts can reconstruct and examine full book depth without building a separate market data and analytics environment.
The methods shown also apply to other supported equity and derivatives markets, subject to available market coverage.
