High Frequency Trading

Basic Statistics and Order Book Imbalance: The Brazilian BMF&Bovespa market

Here, we have basic statistics and a visual representation of the U.S. Dollar Futures contract, DOLJ17, for a given day. The basic statistics cover the trades and the limit order book events.

Next, we recall the definition of Order Book Imbalance. We analyze the number of buy and sell market orders that arrive at five different regimes of imbalance. As it was expected from the intuition and other markets, buy (sell) market orders tend to be more frequent at regimes of higher (lower) order book imbalance.