Order Book Sim
Limit order book with Poisson arrivals, price impact, and Kyle's λ market depth. Mid-price follows arithmetic Brownian motion.
Order arrival rate:
8
/s
Cancel rate:
0.3
Market order prob:
0.25
Volatility:
0.02
Kyle λ (impact):
0.5
Place Buy Order
Place Sell Order
Mid Price:
100.00
Bid:
—
Ask:
—
Spread:
—
Trades:
0
Volume:
0