Orderbook Update Rate
Quick Reference
| Property | Value |
|---|---|
| Dimension | execution |
| Category | order_flow |
| Version | v1.0 |
| Output Column | update_rate |
Order book update frequency 鈥?counts order book change events per second
Formula
(rolling_sum(orderbook_update_count, window) / window) * 1000.0
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
orderbook_update_count | cdm_lob_snapshot | Order book snapshot data 鈥?depth levels, bid/ask prices and sizes |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window | integer | 10000 | Window for rate estimation |
Output
Column: update_rate
Order book updates per second
Market Intuition & Trading Rationale
Order book update rate measures the velocity of liquidity: how many times per second the book changes. It counts order placements, modifications, and cancellations. This is the fastest-responding microstructure metric 鈥?before a trade executes, before a price moves, the book changes. A sudden surge in update rate often precedes price moves by milliseconds to seconds.
High update rates have two faces. Benign: market makers rebalancing inventory, algorithms refreshing pegged orders 鈥?stable depth, tight spreads. Ominous: quote stuffing, spoofing, liquidity probes 鈥?declining depth, widening spreads. The context (paired with spread and depth) determines the interpretation. High update rate + stable book = normal activity. High update rate + deteriorating book = stress.
Very low update rates indicate a stale book 鈥?few participants are actively quoting. Trading in stale books is dangerous because the displayed liquidity may not be real (orders may have been pulled without your feed reflecting it yet).
Usage Cases
- Activity surge detection: update_rate spike without corresponding trade_intensity rise = market bracing for action. Prepare for imminent volatility.
- Manipulation surveillance: Abnormally high update_rate + no trades + no price movement = potential spoofing/quote stuffing. Flag for review.
- Execution timing: Trade during moderate update rates (natural activity). Avoid very low (stale book) and very high (unstable book) extremes.
- Stress context: In
liquidity_stressandiceberg_detectionpacks, high update_rate + stress = active panic (providers frantically adjusting). Low update_rate + stress = frozen market (providers have fled).
YAML Definition
name: orderbook_update_rate
description: Order book update frequency 鈥?counts order book change events per second
category: order_flow
dimension: execution
version: v0.9.0 (Beta)
required_inputs:
- orderbook_update_count
output_column: update_rate
output_description: Order book updates per second
tags:
- execution
- orderbook
- activity
parameters:
window:
type: integer
description: Window for rate estimation
required: false
default: 10000
formula: (rolling_sum(orderbook_update_count, window) / window) * 1000.0