Microstructure & order flow
VII · Microstructure & order flow Researched

Order-flow imbalance v2

A rebuilt order-flow pipeline that screens the foresight ceiling before the model — futures, equity, and crypto arms.

In plain terms

A rebuilt order-flow study that asks the cost question first, across three different markets.

How it works

Signed order flow is screened for tradeable foresight in futures, equity, and crypto arms, each judged against its own cost and latency reality.

What it’s tested against

Foresight-versus-cost is screened before modelling; where latency or venue access is the binding constraint, it is named rather than hidden.

Data

Futures, equity NBBO, and crypto order-flow data.

Researched — a documented wall, which is itself a result.

All strategy families

Research record only. Strategy logic stays private; what is shown can be reconstructed from a versioned notebook and a dated data snapshot. Not investment advice.