Research companion
What an order book snapshot leaves out
Two cancellations with the same depth update can leave an order in different queue positions.
5 min read · Aurora Lab
KeywordsOrder book, Queue position, Event order, Information availability
PUBLIC RESEARCH
Undated material.
Research organised by its recorded publication year. Observation periods and later editions remain identified separately.
Publication index
Methods & publication standards5 results · 1–5
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Engineering note
A timestamp is not an ordering guarantee
Sequence scope, clock domains and the data contract behind a reproducible reconstruction.
5 min read · Aurora Lab
KeywordsEvent order, Reproducible replay, Information availability, Order book
Methods guide
A reproducible replay starts with its contract
A practical record of inputs, state transitions, invariants and information availability.
6 min read · Aurora Lab
KeywordsReproducible replay, Event order, Information availability, Order book
Interactive experiment
Event order and reconstruction
Replay three synthetic messages in source order or receive order. Compare the resulting state, then inspect the standalone Python example.
Browser experiment · Python source
KeywordsEvent order, Reproducible replay, Information availability, Order book
Interactive experiment
Depth and queue position
Cancel equal quantities at different points in a queue. Inspect what total depth preserves and what it leaves unresolved.
Browser experiment · Synthetic data
KeywordsQueue position, Order book, Event order, Information availability
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READING & REUSE
Sources and scope.
Manuscript pages link to the original text and citation record. Fund and market studies identify their evidence, observation dates and analytical scope; notes explain methods, while browser experiments use synthetic data.
For a replication question or correction, include the title, version and the specific passage or calculation.