المدربA zero-intelligence model of a limit order book lets limit orders, market orders and cancellations arrive as independent Poisson processes whose rates may depend on the distance from the best prices, with no trader choosing anything; its spread, depth, volatility and fill probabilities follow from the rates alone.
firm.tape, sampled every second; it peaks one tick behind the best. Data: mx_lob.zi_market, mx_lob.depth_profile.