Futures microstructure

In plain terms

The same microstructure questions, asked on a real futures order book.

How it works

Intraday book and flow features are built on genuine futures data and tested for short-horizon predictability net of cost.

What it’s tested against

A cost- and latency-aware evaluation on real book data.

Data

Futures order-book data.

Researched — microstructure on a real book.