Family swept: order-book depth / imbalance / resiliency (spot L2) · campaign regime-invariant-orthogonality · append-only
The depth axis. Trade-based measures infer liquidity; the order book shows it. This iteration harvests the L2 instruments that grade exit-difficulty and book fragility directly: imbalance (OBI/queue-imbalance, micro-price, weighted-mid, multi-level/integrated/cross-impact/deep OFI, DeepLOB), depth & cost-to-trade (Næs–Skjeltorp book-slope, XLM cost-of-round-trip, walk-the-book price impact, the 23-measure TAQ liquidity family), resiliency (Obizhaeva–Wang recovery ρ, Large's impulse-response half-life), and book structure (Bouchaud–Mézard–Potters shape, order-book entropy, Roşu / queue-reactive / Lipton–Pesavento–Sotiropoulos queue models, Cartea–Jaimungal execution signals).
L2 is spot-legal. Order-book depth is available for Binance spot — L2 is a data requirement, not a derivative, so every row sits inside principle #8 (tagged L2). None need funding/OI/liquidations. Base OFI (Cont–Kukanov–Stoikov 2014) is already seeded (S12); only its multi-level / deep / cross-impact / DL descendants are new here.
| # | Name | Family | Measures | Cascade / liquidity mapping | Spot? | Param | Stable-ID | FOSS |
|---|---|---|---|---|---|---|---|---|
| H90 | Order-book imbalance / queue imbalance (OBI) | order-book-imbalance | (V_b−V_a)/(V_b+V_a) at BBO / L levels; one-tick-ahead predictor | imbalance-pressure toward the thin side | L2 | DIM | Gould & Bonart 2016, MML — DOI 10.1142/S2382626616500064; arXiv:1512.03492 | VER nicolezattarin/LOB-feature-analysis (Apache-2.0); frds (MIT) |
| H91 | Micro-price (Stoikov) | fair-value-estimator | martingale fair value = Markov-chain limit of expected mid | imbalance + spread state | adverse-selection-adjusted fair exit price | L2 | PP | Stoikov 2018, Quant. Finance — DOI 10.1080/14697688.2018.1489139; SSRN 2970694 | REF sstoikov/microprice (Py) — NO LICENSE |
| H92 | Weighted mid / book-pressure | fair-value-estimator | volume-weighted mid (P_a·V_b + P_b·V_a)/(V_a+V_b) | imbalance-pressure / micro-price baseline | L2 | PF | Gould et al. 2013, Quant. Finance — DOI 10.1080/14697688.2013.803148; arXiv:1012.0349 | VER frds (MIT); nicolezattarin (Apache-2.0) |
| H93 | Multi-Level OFI (MLOFI) | OFI-extension | vector of net order flow at each of the L deepest price levels | imbalance-pressure + deep-book depth influence | L2 | PP | Xu, Gould, Howison 2019, MML — arXiv:1907.06230; SSRN 3479741 · parent S12 | VER akshai0296/Multi-Level-OFI-…Cross-Impact (MIT) |
| H94 | Integrated + cross-impact OFI | OFI-extension | PCA-integrated multi-level OFI; contemporaneous + lagged cross-asset OFI impact | imbalance-pressure + cross-impact / systemic co-movement | L2 (+multi-asset) | PP | Cont, Cucuringu, Zhang 2023, Quant. Finance — DOI 10.1080/14697688.2023.2236159; arXiv:2112.13213 · parent H93 | VER akshai0296/…Cross-Impact (MIT) |
| H95 | Deep OFI (DL) | OFI-extension | LSTM/MLP on order-flow-transformed LOB, multi-horizon return forecast | imbalance-pressure (multi-horizon alpha) | L2 | MN | Kolm, Turiel, Westray 2023, Math. Finance — DOI 10.1111/mafi.12413; SSRN 3900141 | UNV |
| H96 | DeepLOB | LOB-shape / deep-learning | CNN+Inception+LSTM predicting mid-price direction from raw L10 book | predictive book-state fragility | L2 | MN | Zhang, Zohren, Roberts 2019, IEEE TSP — DOI 10.1109/TSP.2019.2907260; arXiv:1808.03668 | REF zcakhaa/DeepLOB (Py) — NO LICENSE |
| H97 | Order-book slope (Næs–Skjeltorp) | book-slope-depth | slope of the cumulative depth-vs-price curve near mid | depth / exit-difficulty (steeper = thinner) | L2 | PP | Næs & Skjeltorp 2006, J.Fin.Markets — DOI 10.1016/j.finmar.2006.04.001 | VER frds `limit_order_book_slope` (MIT) |
| H98 | XLM / cost-of-round-trip | cost-to-trade | bps cost of a round-trip market order of notional V, walking both book sides | exit-difficulty / depth beyond the inside spread | L2 | PP | Gomber, Schweickert, Theissen 2004 "Zooming in on Liquidity" (SSRN 559406); roots Irvine-Benston-Kandel 2000 | UNV walk-the-book generic |
| H99 | Cost-to-trade / market-order price-impact | cost-to-trade | VWAP slippage vs mid to consume quantity Q by walking the book | exit-difficulty / cost-to-trade | L2 | PP | mechanism per XLM (H98) + TAQ price_impact (H106) | VER frds (MIT); highfrequency price_impact (R, GPL≥2) |
| H100 | Obizhaeva–Wang execution + resilience | resiliency | transient-impact optimal execution; resilience ρ = depth recovery speed after a trade | resiliency / fragility (recovery rate drives cost, not static depth) | L2 | PP | Obizhaeva & Wang 2013, J.Fin.Markets — DOI 10.1016/j.finmar.2012.09.001; SSRN 752022 | UNV |
| H101 | Large — LOB resiliency | resiliency | impulse-response: probability + half-life of book replenishment after a large trade (Hawkes) | resiliency / fragility (post-shock recovery) | L2 | PP | Large 2007, J.Fin.Markets — DOI 10.1016/j.finmar.2006.09.001 | UNV generic Hawkes (tick) |
| H102 | Bouchaud–Mézard–Potters avg LOB shape | LOB-shape | humped stationary average book (volume density vs distance from mid) | depth / fragility (equilibrium book shape) | L2 | PF | Bouchaud, Mézard, Potters 2002, Quant. Finance — DOI 10.1088/1469-7688/2/4/301; arXiv:cond-mat/0203511 | UNV |
| H103 | Roşu dynamic LOB model | queue-model | equilibrium bid/ask as a function of the numbers of buy/sell orders in the book | imbalance-pressure / resiliency (theory) | L2 | PP | Roşu 2009, RFS — DOI 10.1093/rfs/hhp011; SSRN 710841 | UNV |
| H104 | Queue-reactive model (Huang–Lehalle–Rosenbaum) | queue-model | Markov-queue LOB with state-dependent order-flow intensities; generative full-book | resiliency / imbalance-pressure / depth (generative) | L2 | PP | Huang, Lehalle, Rosenbaum 2015, JASA — DOI 10.1080/01621459.2014.982278; arXiv:1312.0563 | UNV abides adjacent (NOASSERTION) |
| H105 | Lipton–Pesavento–Sotiropoulos quote-imbalance | order-book-imbalance / queue-model | joint top-of-book queues + trade arrivals; P(price move | quote imbalance), near-linear | imbalance-pressure / fragility | L2 | PP | Lipton, Pesavento, Sotiropoulos 2013 — arXiv:1312.0514 | UNV |
| H106 | TAQ liquidity family | cost-to-trade | quoted / effective / realized spread, price impact, quoted+dollar depth, depth-weighted spread | cost-to-trade / depth; effective = realized + price-impact decomposition | L2 | mixed | Boudt, Kleen, Sjoerup 2022, JSS 104(8) — DOI 10.18637/jss.v104.i08; base Hasbrouck-Seppi 2001, Boehmer 2005 | VER highfrequency::tqLiquidity (R, GPL≥2 — 23 measures) |
| H107 | Order-book / market-depth entropy | LOB-shape | Shannon entropy of the volume distribution across price levels | depth / fragility (book disorder as instability proxy) | L2 | PP | Olbryś & Ostrowski 2021, Entropy 23(5):568 — DOI 10.3390/e23050568; crypto Li et al. 2024, Entropy 26(1):24 — DOI 10.3390/e26010024 | UNV |
| H108 | Cartea–Jaimungal order-book-signal execution | order-book-imbalance | volume imbalance as alpha; closed-form optimal trading rate as a function of OBI/OFI | imbalance-pressure (execution-aware) | L2 | PP | Cartea, Donnelly, Jaimungal 2018, Applied Math. Finance — DOI 10.1080/1350486X.2018.1434009 | UNV |
limit_order_book_slope (Næs–Skjeltorp), price-impact. github.com/mgao6767/frdsaxis-2-cascade-free/CANDIDATE-CATALOG.md · back to loop hub