描述订单薄的生成过程，以及建立了一套预测模型，非常值得学习。
，
A limit order book provides information on available limit order
prices and their volumes. Based on these quantities, we give an em-
pirical result on the relationship between the bid-ask liquidity balance
and trade sign and we show that liquidity balance on best bid/best ask
is quite informative for predicting the future market order's direction.