aggregated order book

Discussion in 'Automated Trading' started by don.pasquale, Jun 15, 2010.

  1. hi All!
    Can anyone clarify to me what does it mean AGGREGATED ORDER BOOK and what is the difference between the common ORDER BOOK?
  2. Baron

    Baron ET Founder

    The common order book displays the number of shares available at a specific price from each of the exchanges and ECNs.

    The aggregated order book adds up the number shares available at a specific price from each of the exchanges and ECNs and displays that total number only.
  3. Thanks Baron

    Do you know any reason why could it be useful for trading?

    If I understood clearly this means that if I trade with 3 exchanges the NON AGGR. will be done by 3 separate different order books, while the AGGREGATED O.B will be 1 single order book with all the levels constituted by price and volumes from all of the 3 added up altogether. right?

    If I look at the aggregated it seems to me to have a better picture for what regatds liquidity..might be this the reason?

    #Exch A ( non aggr )
    10 10.23 10.25 20

    #Exch B ( non aggr )
    5 10.23 10.26 30

    #aggregated ( Exch A & B )
    15 10.23 10.25 20
    10.26 30
  4. Baron

    Baron ET Founder

    Sure. All exchanges and ECNs are not equal. So for example, you may find that one ECN provides faster fills than the others especially during times of high volume, so therefore you would want to know what the liquidity picture is like on that exchange specifically, and then route your order directly to it.


    It definitely provides a better representation of the total liquidity, but like I said above, there may be circumstances where you only care about the liquidity provided by the fastest order routes. Therefore, an aggregated order book wouldn't be very useful in those instances.

    Now, obviously the importance of all this depends on the frequency of your trading. As your trading frequency increases, the ability to identify the fastest sources of liquidity and target those sources becomes more important.