1
Introduction
1.1
Continuous-time double auction and LOB
1.2
Available data sets
2
Methods
2.1
Definitions
2.1.1
Order function
2.1.2
Order book
2.1.3
Market orders
2.1.4
Level2 order function
2.2
Software
2.2.1
Main
2.2.2
Parse options
2.2.3
Create reconstructor and acquirer
2.2.3.1
Create acquirer
2.2.3.2
Create reconstructor
2.2.4
Acquire and process
2.2.4.1
Receiver
2.2.4.2
Reader
2.2.5
Receive messages
2.2.6
Process message
2.2.7
Handle message
2.2.8
Output format
2.2.8.1
File
3
Results
3.1
Fragments of extracted events
3.1.1
Coinbase
3.1.2
Bitstamp
3.1.3
Bitfinex
3.2
Fragments of cleansed data
3.2.1
Bitstamp
4
Discussion
5
Appendix
5.1
Examples of order tables and restored functions
5.2
Example of LOB
5.3
Message handlers
5.3.1
Synchronizer
5.3.2
TimeOrderEnforcer
5.3.3
Deduplicator
References
Order book events reconstruction from empirical data
4
Discussion
TBD