Order Book Reconstruction Transform

The Transform settings allow for orders to be reconstructed into an order book, and standardized by conflating into an appropriate granularity for the output display.

The returned data table will be ready for the time series transform.

Performing Order Book Reconstruction Transform

1. To reconstruct a list of orders, click Transforms in the Preview area.

The Datasource – Transforms dialog displays.

2. Set the Transform to Order Book Reconstruction.

 

3. Check the Order Book Reconstruction checkbox.

1. • The OK button will be disabled and the Field Values section will have default values from the data set.

   • To reconstruct the Order Book from these orders, the data must include the following columns or fields:

   • Order ID (Unique Per Order)

   • Order State / Event Type (New > Replace > Trade / Cancel)

   • Update Time

   • Side (Buy or Sell)

   • Price

   • Balance / Remaining Quantity

Certain Order Types may also be excluded from the book reconstruction (e.g., Market Orders).

4. Match a column, from the generated schema of the source file, for the following Fields:

• Id = [Order ID]

• Type = [Order Type]

• Price = [Limit Price (USD)]

• Time = [Update Time]

• Order State = [Event Type]

• Side = [Side]

• Balance = [Remaining Quantity (BTC)]

• Price Group = [Symbol]

For example:

 

In this example, Price Group is mapped to Symbol. It can also be mapped to Participant if available in the data source.

After mapping the Fields, the Apply and OK buttons are enabled.

5. Under the Field Values section, the default values for this data set are mapped accordingly:

• New = ne, ch, re

• Cancelled = ca, ex

• Trade = tr

• Excluded = IMMEDIATE,IOC

• Buy Side = buy

• Sell Side = sell

6. Set the Date/Time range of the Output by entering values in the From and To text boxes. These values can also be parameterized.

7. Set the maximum number of levels of the Output. Default is 25.

8. Set the target number of Output time slices. Default is 100.

9. Click Apply. This prepares the time series analysis.

10. Refer to Enable Time Series Analysis for more information in enabling this feature.

Enabling the time series analysis when you perform a Order Book Reconstruction Transform solves the problem of having to specify all of the values. It also allows you to choose which Time column should be used to specify the time series.

11. Click OK.