Order-Flow and Impact · deterministic synthetic teaching data

Kyle Lambda Guided Lab

How many midpoint basis points are associated with one declared unit of signed order flow? Choose → step → observe → explain → compare.

Kyle Lambda traceCurrent profile trace over the complete synthetic scenario.Full deterministic trace

Compare all profiles

ProfilePrimary valueStateTrace rows

Audit view

RowSide/stateReasonActive value

Order-Flow and Impact · measurement context

What contemporaneous midpoint-change slope is associated with one declared unit of signed flow?

Nearest comparison

Hasbrouck Price Impact traces dynamic feedback; this package estimates a contemporaneous empirical slope.

Do not substitute

The fitted slope is sample-, unit-, side-, and transformation-specific—not a universal structural constant.