The Gateway to Algorithmic and Automated Trading

Using Order Book Data to Improve Automated Model Performance

Published in Automated Trader Magazine Issue 06 July 2007

Automated traders now have access to unprecedented levels of market data. Thom Hartle, Director of Marketing, CQG, conducts a theoretical comparison between two trading systems to explore how order book data can be leveraged for optimal trade performance.

Thom Hartle

Thom Hartle

The advent of electronic trading platforms for futures and cash markets has created greater market transparency. The availability of this level of market information has led to innovative ways of tracking the actions of traders within an exchange's electronic order book. Historically, tra

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