I'm going to do another analysis sometime and shown all the margnial prices from 0.1% to 2.5% in 0.1% increments, so it'll show a full range of slopes throught the whole day. Working on someother stuff right now thuogh...
I've written some custom stuff to hook up with my broker.. it archives every message in realtime with a timestamp accurate to the milisecond and is capable of replaying it just as if it was live. Wrote some more stuff to do realtime orderbook reconstruction and functions to calculate marginal prices based on volume, amount of cash, maximum price desired, marginal price desired, etc.