10 signals in Microstructure.
Tracks the number of market orders per interval, measuring urgency and aggression levels in crypto perpetual futures.
Monitors average market order size to distinguish retail from institutional execution patterns in perpetual futures.
Tracks passive limit order placement frequency, measuring resting liquidity provision in crypto perpetual futures order books.
Monitors average limit order size to identify institutional resting orders and support/resistance conviction levels.
Detects and quantifies algorithmic trading activity through order timing, size patterns, and execution consistency in perpetual futures.
Measures the ratio of unique participants to total volume, distinguishing broad market engagement from concentrated activity.
Quantifies how aggressively takers are hitting bids or lifting offers relative to available liquidity in perpetual futures.
Measures the rate and density of trade executions per unit time, identifying acceleration and deceleration in market activity.
Estimates market impact per unit of order flow, measuring how much prices move for each dollar of net buying or selling pressure.
Tracks bid-ask spread behavior including widening, narrowing, and asymmetric spread shifts in crypto perpetual futures.