CoachAn 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.
Quantitative Finance · शब्दावली