Market Microstructure — fintech-algorithms

Trade Classification

Quoted Spread contract quotedSpread(bid, ask)
Effective Spread contract effectiveSpread(bid, ask, tradePrice, side)
Realized Spread contract realizedSpread(bidAtTrade, askAtTrade, tradePrice, side, bidAfter, askAfter, horizonSeconds)
Roll Spread Estimator contract rollSpread(prices)
Amihud Illiquidity Ratio contract amihudIlliquidity(closes, dollarVolumes, scale)
Corwin-Schultz Spread Estimator contract corwinSchultzSpread(highDay1, lowDay1, highDay2, lowDay2, clipNegative)

Order Flow Imbalance contract orderFlowImbalance(inputRows, resetOnSession, normalizeByDepth)
Queue Imbalance contract queueImbalance(inputRows, levels, decay)
Kyle Lambda contract kyleLambda(inputRows, volumeTransform, intercept)
Hasbrouck Price Impact contract hasbrouckPriceImpact(inputRows, horizon)
PIN contract pin(inputRows, starts, balancedNoise, iterations)
VPIN contract vpin(inputRows, bucketVolume, windowBuckets, includePartial)

Order-Book Slope contract orderBookSlope(bidPrices, bidSizes, askPrices, askSizes)
Depth-Weighted Midprice contract depthWeightedMidprice(bidPrices, bidSizes, askPrices, askSizes)
Microprice contract microprice(bid, bidSize, ask, askSize)
Order-Book Resiliency contract orderBookResiliency(timesSeconds, displacementBps, forecastSeconds)
Hawkes Order-Arrival Model contract hawkesOrderArrival(eventTimesSeconds, baselineIntensity, excitationJump, decayRate, evaluationTimeSeconds, horizonSeconds)

Cumulative Bid/Ask Depth contract cumulativeDepth(bidsRaw, asksRaw, tickRaw)
Top-N Depth Imbalance contract topNDepthImbalance(bidsRaw, asksRaw, nRaw, thresholdRaw)
Depth-at-Distance Profile contract depthAtDistanceProfile(bidsRaw, asksRaw, tickRaw, maxRaw)
Expected Market-Order Fill Price contract expectedFillPrice(bids, asks, side, quantity, limitPrice)
Multi-Level Sweep Cost and Slippage contract sweepCostAndSlippage(bids, asks, side, quantity, benchmarkRaw, benchmarkPriceRaw, limitPrice)
Liquidity-Wall and Concentration Detection contract liquidityWallConcentration(levelsRaw, multipleRaw, minShareRaw, thresholdRaw)
Depth Depletion and Replenishment contract depthDepletionReplenishment(seriesRaw)
Market-Depth Heatmap Aggregation contract marketDepthHeatmap(snapshotsRaw, tickRaw, binRaw, maxRaw)