HFT

Introduction If you’ve ever placed a trade on a stock or crypto exchange, you’ve interacted—directly or indirectly—with an order book. The order book is the living core of modern electronic markets: it lists who wants to buy, who wants to sell, at what prices, and how much. Understanding its mechanics helps traders manage execution, helps developers build reliable trading systems, and helps researchers reason about price formation and liquidity. This article is a comprehensive, practitioner-friendly deep dive into order books. We’ll cover how they’re structured, how matching engines work, how to interpret book dynamics, execution tactics, data feeds and APIs, common pitfalls, and practical engineering patterns. We’ll also share concise Python snippets for building and analyzing a simplified limit order book. ...