Limit Order Book Submissions and Cancellations
The competition and voting have completed. Winners were determined by the citizens of Lykke City.
Days of the project
Nov 30, 2017 - Jan 14, 2018 (44 days)
Nov 30, 2017 - Jan 7, 2018
Dec 1, 2017 - Jan 7, 2018
Jan 7 - Jan 14, 2018
Does one might belief that limit order markets are backed by patient market makers, ready to trade with incoming investors at all times – reality looks quite different. Liquidity suppliers and traders are restless rather than patient. This way the majority of orders in markets are cancelled or resubmitted with a modified quote before any transactions occurs. In equity markets the top of book quotes of each large - cap US stock is on average updated once every 50 milliseconds, corresponding to six quote updates in the blink of an eye. These short-lived limit orders are also called “fleeting orders”, “flickering quotes” or “phantom liquidity”. The behaviour of submitting and cancelling orders with no intention of execution, with the goal of swaying prices in a favourable direction, a bait-and-switch tactic, is called “spooﬁng”. Lykke, running a market making trading strategy in cryptocurrencies, wants your help in researching this phenomenon for crypto-markets - to find potential patterns of limit order book submissions and cancellations.
We are interested in research about order book submissions and cancellations in crypto-markets. Can you find any stable patterns?
Limit Order Book
The limit order book is the central structure aggregating the orders of all traders to buy and sell shares of a given stock on an exchange.
The usual economic perspective on a limit order emphasizes its role in supplying liquidity. In this capacity, it is often viewed as extending to the market a visible, ongoing, and persistent option to trade. Unlike a market order, it is passive and patient.
1/3 of all limit orders becomes canceled within 2 seconds! More than 3/4 in only 1 minute. Liquidity provision
Lykke, providing liquidity through its market making trading algorithm, Alpha Engine, has to be aware of other market participants submitting, amending or cancelling their orders in a certain way.
We invite all researchers to familiarise themselves with limit order book research and investigate crypto-markets accordingly. Please do present your findings to us.
Requirements for the work
Please present your research about limit order book cancellations, submissions and amendments for crypto-markets in a short document, code, video etc.
Any formulas or plots should be also included in the document.
The first 4 contestants will receive a prize money in 400, 300, 300, 300 $.
A few disclaimers
There is no guarantee of winning a prize. The prizes are only awarded to entries that the Lykke judges find worthwhile. Prizes are awarded in Lykke coins, which may be redeemed for currency and sent to your bank. You must be at least 18 years of age. You must not submit twice — your first submission is the one that counts. You will be responsible for declaring your own income to your local tax authorities. All submissions will be disclosed to the public. The prizes are given at Lykke’s sole discretion. The decisions of the judges will be final — there is no appeals process if your project does not win a prize. No other compensation will be given at this stage.
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For this project, none of the submitted results matched our experts expectations, so we decided not to award the first prize.