Illiquid Market Making: When the Feature Pipeline, Not the Model, Determines Whether You Survive
Every market-making model you can name was designed for a book that is reliably there. Avellaneda-Stoikov (2008) included. Place it…
Tag: order flow imbalance
Six Market Microstructure Signals That Fire Before the Price Print: A Practitioner’s Execution Quality Architecture
The Gap Between When the Move Begins and When It Shows Up on Your Report Every execution quality report I…
Why Your Trade-Tape OFI Caps at 35% R-Squared: The Cancel Stream Your Signal Pipeline Is Ignoring
Table of Contents The 30-Point Gap That Lives in Your Cancel Stream Why 97% of Your Order Book Never Prints…