For anyone unsure about an investment with limit order book data subscription, here is a chance to check them out for free. tradematrix.net provides books from the NASDAQ OMX and NYSE ARCA, along with some other tools such as bloomberg TV and etc.
Reasons to pay attention to the order books
The limit order volumes explain the raw micro-economic forces at work, in theory. Yes there are large order executions through dark pools like liquidnet, yet some of these execution algorithms also pay attention to the order books. It is usually important to develop a feel for where the institutional money's likely to go.
High frequency trading of course applies to order book modeling. I've explained some of the basic strategies in this post, Orderbook High Freuqency Trading Tactics.
Reasons to pay attention to the order books
The limit order volumes explain the raw micro-economic forces at work, in theory. Yes there are large order executions through dark pools like liquidnet, yet some of these execution algorithms also pay attention to the order books. It is usually important to develop a feel for where the institutional money's likely to go.
High frequency trading of course applies to order book modeling. I've explained some of the basic strategies in this post, Orderbook High Freuqency Trading Tactics.
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