{"repo":"leionion/orderbook-imbalance-indicator-hft","free":true,"listed":false,"github":"https://github.com/leionion/orderbook-imbalance-indicator-hft","clone":"git clone https://github.com/leionion/orderbook-imbalance-indicator-hft.git","description":"A high-frequency tool that monitors the \"Bid-Ask\" spread and order book depth to predict the next 10-second price move.","language":"Python","stars":23,"topics":["algorithmic-trading","bid-ask-spread","crypto-trading","hft","high-frequency-trading","low-latency","market-microstructure","order-book","order-flow","orderbook"],"license":null,"category":"trading","readme_excerpt":"Orderbook Imbalance Indicator HFT A Python project for short-horizon market microstructure signals from L2 order book depth. This implementation is built from the \"future version\" direction: configurable signal pipeline, replay mode, local orderbook reconstruction, spread guard, refill detection, JSONL output, optional webhook fan-out, and automated tests. What Is Implemented - Local orderbook engine with snapshot + delta handling. - Weighted depth imbalance feature extraction. - Bid/ask spread normalization and 10-second horizon signal scoring. - Signal suppression controls: - Spread guard. - Refill detection penalty. - Minimum confidence threshold. - Replay-driven paper mode for deterministic local testing. - Outputs: - Console JSON events. - JSONL file sink. - Optional webhook POST. - Test suite for orderbook math, signal behavior, and runner integration. Project Structure Signal Model At each book update: 1. Reconstruct current L2 state. 2. Compute weighted bid and ask depth over depth levels . 3. Compute imbalance: 4. Normalize by spread (bps) to produce pressure score. 5. Map score to direction: up , down , or flat . 6. Apply suppression logic (spread guard, refill, confidence floor). 7. Emit microstructure.signal or signal.blocked . Quick Start 1) Setup 2) Configure Default config is ready for local replay mode. 3) Run (paper mode) 4) Run tests Configuration Reference config.yaml sections: - feed - venue : label for source venue. - symbol : market symbol. - depth level","default_branch":null,"files":null,"tree":[],"storefront":"/r/leionion","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/leionion/orderbook-imbalance-indicator-hft/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}