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Quantitative Finance · Glossary

What is Order-book event?

Definition 1.4 Microstructure and Execution · Chapter 1 — The Limit Order Book

An order-book event is one change to the book: an order added at a price level, reduced or removed by its owner (a cancellation), replaced by a new order, or reduced or removed by an execution against an incoming order. A venue’s market-by-order feed (One Quant Book 1, chapter 19) publishes one message per event, with the order’s reference.

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