intraday-microstructurelisted

Measure the market at the tick level and know when the measure is lying. TRIGGER - build dollar bars, volume bars, tick bars, imbalance bars; classify trades as buyer or seller initiated, Lee-Ready, tick rule, bulk volume classification, BVC; quoted vs effective vs realized spread, price impact, Kyle's lambda, Amihud illiquidity, order flow imbalance, OFI, VPIN; reconstruct the order book from MBO, market by order, L2 vs L3, queue position, NBBO, odd lots, dark prints; "my tick strategy works on bars but not on ticks", exchange clock vs vendor clock, the 5-second rule. SKIP for downloading tick data or picking a vendor (market-data-sourcing), for as-of joins and tick storage (market-data-engineering), for the cost of your own fills (execution-cost-analysis), for indicator look-ahead on bars (signal-construction), for how an engine fills orders or what spread to assume in a bar backtest (backtesting-engines) and for short-sale or margin rules (us-market-rules).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# Intraday microstructure **Every microstructure estimator has a failure mode that returns a plausible number.** A trade classifier that is 79% right looks fine until you learn it flips exactly the trades that moved the price. So this skill scores each estimator on a synthetic stream where the answer was **planted**, and reports the size of the failure as a number rather than as a warning. ✅ Every number below is printed by `scripts/microstructure_measures.py` (numpy 2.2.6, pandas 2.2.3, seed 20260908, about 20 s). It scores *estimators*, not markets: nothing here is a claim about how real order flow behaves. Getting tick data is `../market-data-sourcing/SKILL.md` (Databento MBO in `../market-data-sourcing/references/databento.md`); joining quotes to trades without look-ahead is `../market-data-engineering/SKILL.md` §2. This file starts where those stop. ## 1. Bars: activity time helps only when variance arrives with trades Four bar types from one stream of 733,383 trades over 40 sessions, thresholds set so each type yields about the same number of bars as 1-minute time bars (matched counts, or the comparison is unfair). Two worlds, same price mechanism: | World A - **94%** of daily variance arrives with trades | ex. kurt | \|z\|>3 | half-hour var ratio | bars/day | |---|---|---|---|---| | time 1-min | **7.13** | 1.794% | 2.4 | 388-390 | | tick (47 trades) | 2.45 | 1.213% | 1.2 | 213-831 | | volume (11,832 sh) | **1.87** | 0.911% | 1.3 | 209-824 | | dollar ($1.25M) | **