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Series

Signals

Each note takes one well-known microstructure signal and does the work most write-ups skip: the exact definition, the implementation traps, and the conditions under which it stops predicting.

2 notes · about 8 min

Reading order

Signal01

Order Flow Imbalance — the signal everyone gets halfway right

OFI is useful. Simple formulas are not enough.

Mar 10, 20264 minIntermediate
Signal02

Queue imbalance — the cleanest microstructure signal you can build

One of the simplest signals that still holds up in modern markets.

Apr 12, 20264 minIntermediate

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