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Microstructure Analysis: measuring the quality of the flow The complete guide to the measurement bench: each metric explained one by one, with its question, its calculation, its reading and its trap, plus diagrams of the mechanisms and screenshots of every view.
What this module does, and what it is not What it needs to work The screen layout The row of measures The measures, one by one VPIN, flow toxicity Why the bucket size is a real setting Signed VPIN, the informed side Book imbalance Resting depth, and spread Resilience, or what a wall is really worth The burst threshold, and why it is measured Refill bias Canceled to filled, the cancel-to-trade Events per trade Kyle’s lambda Flow pressure Holes, cliffs and walls Impact and slippage Effective spread, realized spread, adverse selection The book ratios Latencies, and the ones that do not exist here Flux tab: the curve and what you overlay on it The event layers A measure’s detail window The same frame, on resilience Relief tab: the book in three dimensions What the relief adds to a snapshot Reading a relief: the window changes what you see Impact tab: what your size really costs The cost curve, read from left to right Comparing execution strategies Étude tab: the module puts itself to the test A threshold that never fired The true cost of liquidity, on screen Ratios tab: the mechanics of the book The reading rail The embedded DOM Source and health: what the module knows about its data Setting up the module Triggers and alert log Link, detach, ask A session routine What this module does not measure Help Center · TurningTrade