D11 / Territory 11 of 49
Market Microstructure
Explain how orders become prices.
Published work
Released builds
in this territory.
Every card below is included in the current governed release with its article, sources, Python, TypeScript, and available labs.
Search the released libraryTrade Classification
4 buildsMarket Microstructure / Trade Classification
Tick Test
Signs a trade buyer- or seller-initiated by comparing its price with the previous trade.Market Microstructure / Trade Classification
Quote Test
Signs a trade by which side of the prevailing midpoint it executed on.Market Microstructure / Trade Classification
Lee-Ready Trade Signing
The standard hybrid: quote test where the trade is away from the midpoint, tick test at it.Market Microstructure / Trade Classification
Bulk Volume Classification
Assigns a *fraction* of each volume bar to buyers rather than signing individual trades.Liquidity and Spreads
6 buildsMarket Microstructure / Liquidity and Spreads
Quoted Spread
Ask minus bid — what the book advertises. The upper bound on what a small marketable order costs, and routinely wider than what trades actually pay.Market Microstructure / Liquidity and Spreads
Effective Spread
Twice the signed distance from the midpoint to the trade price — what the trade actually paid.Market Microstructure / Liquidity and Spreads
Realized Spread
The effective spread measured against the midpoint *after* a horizon, which strips out the permanent price impact and leaves what the liquidity provider actually earned.Market Microstructure / Liquidity and Spreads
Roll Spread Estimator
Infers the effective spread from the negative serial covariance of price changes alone — no quote data required.Market Microstructure / Liquidity and Spreads
Amihud Illiquidity Ratio
Average absolute return per unit of dollar volume — how much price moves per dollar traded.Market Microstructure / Liquidity and Spreads
Corwin-Schultz Spread Estimator
Estimates the spread from daily high-low ranges over two days, exploiting that the range reflects both volatility and spread while volatility scales with time and the spread does not.Order-Flow and Impact
6 buildsMarket Microstructure / Order-Flow and Impact
Order Flow Imbalance
Net signed change in depth at the touch — the quantity that best explains short-horizon price moves in the microstructure literature.Market Microstructure / Order-Flow and Impact
Queue Imbalance
The share of depth resting on the bid versus the ask. A simple, strongly predictive feature for the direction of the next price move at very short horizons.Market Microstructure / Order-Flow and Impact
Kyle Lambda
The price-impact coefficient from regressing price change on signed order flow.Market Microstructure / Order-Flow and Impact
Hasbrouck Price Impact
Estimates a flow-first VAR(1) and sums its midpoint-return impulse response to a one-unit signed-flow shock.Market Microstructure / Order-Flow and Impact
PIN
Probability of informed trading, estimated by maximum likelihood on daily buy and sell counts.Market Microstructure / Order-Flow and Impact
VPIN
Volume-synchronised probability of informed trading: order imbalance measured in volume buckets rather than clock time.Order-Book Dynamics
5 buildsMarket Microstructure / Order-Book Dynamics
Order-Book Slope
How steeply depth accumulates as you move away from the touch.Market Microstructure / Order-Book Dynamics
Depth-Weighted Midprice
A midpoint weighted by depth across several levels rather than the naive average of best bid and ask.Market Microstructure / Order-Book Dynamics
Microprice
The midpoint weighted by the *opposite* side's size, so a heavy bid pulls the price up.Market Microstructure / Order-Book Dynamics
Order-Book Resiliency
How quickly the book refills after being depleted, fitted as a decay over observed displacement.Market Microstructure / Order-Book Dynamics
Hawkes Order-Arrival Model
A self-exciting point process: each arrival raises the probability of the next.Market-Depth Analytics
8 buildsMarket Microstructure / Market-Depth Analytics
Cumulative Bid/Ask Depth
Running total of quantity available as you walk out from the touch on each side — the basis of every question about how much can be traded before price moves.Market Microstructure / Market-Depth Analytics
Top-N Depth Imbalance
Depth imbalance restricted to the top N levels — the same idea as queue imbalance, bounded to the part of the book that is realistically accessible.Market Microstructure / Market-Depth Analytics
Depth-at-Distance Profile
Depth bucketed by distance from the touch, in ticks. Shows where liquidity actually sits rather than reducing the book to a single number.Market Microstructure / Market-Depth Analytics
Expected Market-Order Fill Price
Walks a market order through the book and returns the volume-weighted price it would pay.Market Microstructure / Market-Depth Analytics
Multi-Level Sweep Cost and Slippage
The cost of sweeping multiple levels, measured against a chosen benchmark.Market Microstructure / Market-Depth Analytics
Liquidity-Wall and Concentration Detection
Finds levels holding disproportionate size — the 'walls' that act as short-term barriers.Market Microstructure / Market-Depth Analytics
Depth Depletion and Replenishment
Separates a visible-depth quantity series into gross depletion and gross replenishment.Market Microstructure / Market-Depth Analytics
Market-Depth Heatmap Aggregation
Aggregates a sequence of book snapshots into a time-by-price grid — the data behind a depth heatmap, where persistent liquidity and fleeting quotes look completely different.Territory coverage
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