When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book

TL;DR

This paper presents a novel visualization technique for limit order books using particle physics tools, enabling multi-variable, real-time analysis of futures markets to enhance market understanding and monitoring.

Contribution

It introduces a flexible, open-source visualization method leveraging CERN's ROOT software, adapted for financial data, to improve market analysis and research capabilities.

Findings

Effective visualization of high-velocity market data

Supports multiple variables and markets simultaneously

Complementary to existing LOB analysis methods

Abstract

We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.