D01-F05 guided lab · synthetic data
Level-3 Order-by-Order Reconstruction
Level 3 is an identity ledger. Quantity belongs to a specific visible order, and a replace can retire one identity and create another with new priority.
Scenario purpose
Decision boundary: Displayed order identity does not reveal hidden liquidity, participant identity, or exchange-internal priority changes not carried by the feed.
State
| Step | |
|---|---|
| Rule | q_i,t = q_i,t-1 - executed_i,t - reduced_i,t; delete when q_i,t = 0 |
| D11 handoff | D11-F03-A02 — Queue Imbalance; D11-F04-A03 — Microprice; D11-F04-A05 — Hawkes Order-Arrival Model |