Strategy #0000000120 · Market microstructure and order flow
Order-book imbalance and short-horizon price scenarios
Enter bid/ask sizes, depth, price sensitivity, spread and trading costs.
Limit-order-book imbalance compares bid and ask depth; order-flow imbalance tracks how submissions, cancellations and trades affect supply/demand around the midpoint. Cont, Kukanov and Stoikov find short-horizon price changes are approximately linear in order-flow imbalance and depend on market depth. Results are highly sensitive to latency, queue position, fees and spread; this tool illustrates only an entered signal.
No live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What remains of the depth-scaled bid/ask signal after spread and costs?
Limit-order-book imbalance compares bid and ask depth; order-flow imbalance tracks how submissions, cancellations and trades affect supply/demand around the midpoint. Cont, Kukanov and Stoikov find short-horizon price changes are approximately linear in order-flow imbalance and depend on market depth. Results are highly sensitive to latency, queue position, fees and spread; this tool illustrates only an entered signal.
Enter bid/ask sizes, depth, price sensitivity, spread and trading costs.
No live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted.
- Input assumptionsEnter bid/ask sizes, depth, price sensitivity, spread and trading costs.
- Model outputNo live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
I=\frac{Q_{bid}-Q_{ask}}{Q_{bid}+Q_{ask}},\quad \Delta P_{bp}=\beta I/Depth
I is top-of-book bid/ask size imbalance and β an assumed sensitivity; this is not measured OFI.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 資料
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
I=\frac{Q_{bid}-Q_{ask}}{Q_{bid}+Q_{ask}},\quad \Delta P_{bp}=\beta I/Depth
Practical context · published observations
Order-book imbalance and short-horizon price scenarios: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Data quality, constraints and implementation costs affect results.
Compare modelling and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Limit-order-book imbalance compares bid and ask depth; order-flow imbalance tracks how submissions, cancellations and trades affect supply/demand around the midpoint. Cont, Kukanov and Stoikov find short-horizon price changes are approximately linear in order-flow imbalance and depend on market depth. Results are highly sensitive to latency, queue position, fees and spread; this tool illustrates only an entered signal. | No live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted. |
| Conservative version | Lower exposure | Raise cost/risk assumptions and constrain positions. | May reduce participation. |
| Validation version | Out-of-sample test | Freeze the method before evaluation on untouched data. | Needs more clean data. |
No live order book, queue or tick data are connected; latency, price jumps and fill probability are omitted.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.