How to use Order Book Replay Visualizer
Drop a Level-2 CSV and watch the order book reconstruct tick by tick — animated depth bars, best bid/ask, spread over time. Visual primer for microstructure before you wire a strategy that depends on it.
What It Does
Use the calculator with intent
Drop a Level-2 CSV and watch the order book reconstruct tick by tick — animated depth bars, best bid/ask, spread over time. Visual primer for microstructure before you wire a strategy that depends on it.
Strategy developers and execution engineers who need to see the order book behave before committing to a microstructure-dependent strategy.
Interpreting Results
Watch the spread chart for venue-specific quoting patterns. Look at imbalance bars at the top of book — sustained imbalance often precedes price moves in liquid names.
Input Steps
Field by field
- 1
Upload data
Upload an ITCH or PITCH feed dump (NASDAQ or Cboe), or pick a pre-loaded sample day.
- 2
Set parameters
Set the replay speed (real-time, 10x, 100x, or paused step-through) and aggregation level (tick / 1ms / 100ms / 1s).
- 3
Watch
Watch the book reconstruction at the chosen aggregation. Step through events to inspect specific moments.
- 4
Upload data
Drop in your strategy's hypothetical order at any point and observe the simulated fill, queue position, and slippage.
- 5
Compare results
Compare with naive backtest assumptions (instant fills at midquote). The gap is your strategy's execution risk.
Common Scenarios
Use realistic starting points
Liquid large-cap, market hours
Symbol
AAPL
Bar period
1 trading hour
Tight spreads (~1bp), deep book, frequent imbalance flips. Imbalance signal-to-noise is low intraday.
Small-cap, open auction
Symbol
any sub-$1B market cap
Bar period
first 15 minutes of trading
Wide spreads, thin book, persistent imbalance. Signal-to-noise much higher — easier to spot directional pressure.
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FAQ
Questions people ask next
The short answers readers usually want after the first pass.
Related Content
Keep the topic connected
Order Book Imbalance
Order book imbalance: definition, the depth-weighting choice that changes everything, and why it predicts short-horizon price moves more than fundamentals.
Bid-Ask Spread
Bid-ask spread defined: quoted vs effective vs realized spread, why the touch isn't the cost you actually pay, and how to measure each.
Latency Arbitrage
Latency arbitrage: cross-venue price discrepancies exploited by being faster than the slowest replicator. Why the game is mostly won at the cable layer.