LOB Visualizer

The notebook shows an example how to visualize LOB data using ROOT.

Note; executing this code requires market data in FIX format, and there are dependencies to a private github repository.

References

• Verhulst, M. E., Debie, P., Hageboeck, S., Pennings, J. M. E., Gardebroek, C., Naumann, A., van Leeuwen, P., Trujillo-Barrera, A. A., & Moneta, L. (2021). When Two Worlds Collide: Using Particle Physics to Visualize the Limit Order Book. [Working Paper CERN-WUR].