orderbook-imbalance-indicator-hft
Unverified Other strategy on Crypto by leionion. BotFinder score 18 out of 100.
A high-frequency tool that monitors the "Bid-Ask" spread and order book depth to predict the next 10-second price move.
Source: github
BotFinder analysis pending.
orderbook-imbalance-indicator-hft
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 depthlevels. 3. Compute imbalance: 4. Normalize by spread (bps) to produce pressure score. 5. Map sco
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