1
Introduction
1.1
Continous-time double auction and LOB
1.2
Available data sets
2
Reconstruction algorithm
2.1
Order
2.2
Order Book
2.3
Quotes and Trades Streams
2.4
Coupling
2.4.1
Makers
2.4.2
Takers
2.5
Order Intervals Reconstruction
2.6
Enforcement of IME condition in EOB
2.7
Enforcement of VC condition in EOB
3
Results
3.1
Fragments of Quotes and Trades Streams
3.1.1
Bitstamp Quotes
3.1.2
Bitstamp Trades
3.1.3
Bitfinex Quotes
3.1.4
Bitfinex Trades
3.2
Optimal Maker Coupling for Fragments
3.2.1
Bitstamp
3.2.2
Bitfinex
4
Discussion
References
Order book reconstruction from quotes and trades streams
4
Discussion
TBD