WebbOrder books are classified as Level 2 market data. Our data is categorized in rows by: timestamp, order type (bid/ask), price, and amount. Kaiko provides order book snapshots at various market depths: -10% Order Books: orders placed at +/- 10% of the mid-price-1% Order Books: order placed at +/- 1% of the mid-price (available upon request) Webbare sorted in deciles according to their respective retail order flow imbalance. The average institutional trade imbalance and average implementation shortfall are then calculated within each decile each week. Time-series averages of these weekly averages for each decile are plotted from 2010–2014.
Order Imbalance: Definition, Causes, and Trading Strategies
WebbKaiko is the leading source of cryptocurrency market data, providing businesses with industrial-grade and regulatory-compliant data. Kaiko empowers market participants … Webb1 jan. 2024 · In this paper, we propose a stationarized indicator based on the classical indicator – Order Flow Imbalance (OFI), and empirically find that there is a stronger linear relationship between the new indicator and the mid-price. Furthermore, we develop a statistical arbitrage strategy based on this new indicator. perseverance kills the game
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Webb17 mars 2024 · Order Imbalance: A situation resulting from an excess of buy or sell orders for a specific security on a trading exchange, making it impossible to match the buyers' and sellers' orders. For ... Webbför 2 dagar sedan · According to the latest report by Kaiko, XRP trading activity has been heavily concentrated on South Korean exchanges, with volumes on Upbit and Bithumb at times exceeding that of Bitcoin and Ethereum. Last week, its trading volumes surpassed $2 billion. This is the highest level since Sept 2024. Gauging further, Kaiko found that XRP … Webb9 aug. 2024 · While raw order book states can be used as input to the forecasting models, we achieve state-of-the-art predictive accuracy by training simpler "off-the-shelf" artificial neural networks on stationary inputs derived from the order book. Specifically, models trained on order flow significantly outperform most models trained directly on order … perseverance ks1