Order-Flow and Impact
6 algorithms in Market Microstructure.
In this family#
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Order Flow Imbalance contract
Net signed change in depth at the touch — the quantity that best explains short-horizon price moves in the microstructure literature. It counts additions and cancellations, not just trades.
orderFlowImbalance(inputRows, resetOnSession, normalizeByDepth) -
Queue Imbalance contract
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.
queueImbalance(inputRows, levels, decay) -
Kyle Lambda contract
The price-impact coefficient from regressing price change on signed order flow. Lambda *is* the illiquidity parameter in Kyle's model — higher means each unit of flow moves price more.
kyleLambda(inputRows, volumeTransform, intercept) -
Hasbrouck Price Impact contract
Decomposes a trade's price effect into the permanent part — information — and the transient part that reverts. The split is what distinguishes an informed trade from a liquidity demand.
hasbrouckPriceImpact(inputRows, horizon) -
PIN contract
Probability of informed trading, estimated by maximum likelihood on daily buy and sell counts. Notoriously hard to optimise — the likelihood has flat regions and local optima, which is why the starting points are a parameter.
pin(inputRows, starts, balancedNoise, iterations) -
VPIN contract
Volume-synchronised probability of informed trading: order imbalance measured in volume buckets rather than clock time. Proposed as a flash-crash early warning, and contested — its predictive claims are actively disputed in the literature.
vpin(inputRows, bucketVolume, windowBuckets, includePartial)
What they share#
Every topic here is a record-transform, so once you have
called one the rest follow the same shape. Import paths differ only in the final segment:
import { orderFlowImbalance } from "fintech-algorithms/market-microstructure/order-flow-and-impact/order-flow-imbalance";
import { queueImbalance } from "fintech-algorithms/market-microstructure/order-flow-and-impact/queue-imbalance";Read them in the order above — the sequence is pedagogical, not alphabetical.
Where this sits#
Market Microstructure collects 29 algorithms across 5 families. For the concept behind this family rather than the call signatures, see the concept guides.