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> Do exchanges give us insight into what their order books actually look like, instead of just quoting the last price where a buyer and seller matched? They do
by repsilat 4y ago
> Do exchanges give us insight into what their order books actually look like, instead of just quoting the last price where a buyer and seller matched?
They do. I haven't seen depth info past the best bid/offer (maybe exists? I'm not an expert), but I see the bid and ask prices with sizes in my broker's app in realtime. "Last price" is just one useful bit of information.
The theory behind showing the last price is that an actual matched transaction feels less likely to be "wrong" (over short periods) than bid/ask in illiquid cases. Sometimes there really just aren't people on one side ready to buy/sell, and the ”$1 $1 $1” would say something less realistic, not more.
Good question though, dunno why anyone would downvote.
- clappski 4y ago> haven't seen depth info past the best bid/offer (maybe exists? I'm not an expert) Most exchanges will provide arbitrary depth in way of a pure order feed. From that you can construct your price book, which gives you the levels of depth. Some just expose the price book, some price book and order feed, some just order feed. Some anonymize the order feed, some don't (I think typically in equities it's anonymized although not my asset class, but other markets e.g. power need to be de-anonymized and you can see the other buyers and sellers submissions). However, that data doesn't represent the market price - I would look to constructing the fair price using the trades made on the exchange rather than the outstanding orders. From that you can create different lenses to view the fair price - e.g. volume weighted, time weighted, other types of averages.