I’ll show you how to calculate the ‘order flow imbalance’ and build a high-frequency trading signal with the results. We’ll see if it is a profitable strategy and how it might be useful as a market indicator.| Dean Markwick
Last time I showed you how to set up a producer/consumer model to build a database of BTCUSD trades using the CoinbasePro WebSocket feed. Now I’ll show you how you can connect to the same database to pull out the data, use some specific timeseries database queries and hopefully show where this type of database is useful by improving some of my old calculations. You should read one of my older blog posts on high frequency finance (here) as I’m going to repeat some of the calculations using...| Dean Markwick
A big part of market microstructure is price impact and understanding how you move the market every time you trade. In the simplest sense, every trade upends the supply and demand of an asset even for a tiny amount of time. The market responds to this change, then responds to the response, then responds to that response, etc. You get the idea. It’s a cascading effect of interactions between all the people in the market.| Dean Markwick