International Journal of Internet, Broadcasting and Communication

The Institute of Internet, Broadcasting and Communication (한국인터넷방송통신학회)
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Development of a Limit Order Book Analysis Tool for Automated Stock Trading Systems

  • Gyu-Sang Cho (Dept. of Computer and Software, Dongyang University)
  • Received : 2024.07.20
  • Accepted : 2024.08.03
  • Published : 2024.08.31
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Abstract

In this paper, we develope a LOB(Limit Order Book) analyzing tool for an automated trading system, which features real-time and offline analysis of LOB data in conjunction with execution data. The 10-tier LOB data analyzer developed in this paper, which contains ask/bid prices and the execution data, receivs transaction requests in real-time from the Kiwoom Open API+ server. In the OnReceiveTrData event, the transaction data from the server is received and processed. The real-time data, triggered by the transaction, is received and processed in the OnReceiveRealData event. These two types of data are stored in a database and replayed in the same way as if it were a real-time situation in simulation mode. The LOB data are selectively read and analyzed in a necessary time points. The tool provides various features such as bar chart analysis and pattern analysis of the total shares on the bid side and ask side, which are used to develop a tool to accurately determine the timing of stock trading.

Keywords

Acknowledgement

This study was supported by a grant from Dong Yang University in 2023

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