Experiments in Market Data Visualization
/Market data visualization demo.
Visuals
Order book 3D surface plot.
Valley-shaped surface showing cumulative bids and asks.
X-Axis: Time
Y-Axis: Price
Z-Axis: Amount
Color: Order type (green = bid, red = ask). Shade gets darker the further price is away from market price.
Graph visualizes order book depth and bid-ask spread. Animation shows changes in these parameters over time.
At the X-end of the plot area is a 2-D plot showing the market depth animated in place. It is a simplified representation of the last slice of the order book surface plot.
Mid price line.
2-D line plot that hovers above the order book surface plot and traces the mid price.
X-Axis: Time
Y-Axis: Price
Trades.
Trades rise from the order book surface chart as animated colored cylinders.
Long trades are colored green and short trades are colored red.
X-Axis: Trade execution time
Y-Axis: Trade price
Dimension (height of cylinder): Trade amount
Color: Trade type (green = long, red = short)
Once trades have risen up to the level of the mid price line, they start moving to a grid at the Y-end of the plot area forming a traditional 2-D trade volume plot along the X-axis (time axis).
Audio
The sound that plays during the animation represents trading activity. Every block of 50 trades is transformed into a single note.
Pitch: Weighted average trade price
Velocity (amplitude): Average trade amount (log-transformed)
Duration: Time between execution time of first and last trade in block
Increased trading activity results in more notes being played per second. This is very audible around the 22 second mark of the video when trading activity and price increase significantly.