Tag

market microstructure

2 posts

Order-Book Imbalance: A Microstructure Signal (in Python)

Order-Book Imbalance: A Microstructure Signal (in Python)

The strategies so far used daily or minute bars. This last one goes down to the…

Algo Trading Vocabulary — The Cheat-Sheet That Unlocks Everything

Algo Trading Vocabulary — The Cheat-Sheet That Unlocks Everything

Every field has a vocabulary you must own before anything else makes sense, and…