Understand the orderbook like a quant
What is an orderbook? Here I explain all THREE levels of the orderbook intuitively from a quant-dev perspective, placing more emphasis on the third level with an concrete example.
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Orderbook Series: • C++ Orderbook Series
MBP vs MBO: https://www.cmegroup.com/education/ma...
Prorata: https://www.cmegroup.com/confluence/d...
00:00 intro
00:42 what is an orderbook?
00:57 example
01:32 L1 (bbo)
02:05 best-bid best-ask
03:09 L2 (mbp)
05:10 L3 (mbo)
07:48 prorata allocation
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