lobkit 0.2.1__tar.gz

lobkit-0.2.1/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2026 Yousuf Hossain Shafeen
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

lobkit-0.2.1/PKG-INFO

@@ -0,0 +1,289 @@
+Metadata-Version: 2.4
+Name: lobkit
+Version: 0.2.1
+Summary: Limit order book reconstruction, order-flow analytics and market-making simulation
+Author: Yousuf Hossain Shafeen
+License-Expression: MIT
+Project-URL: Homepage, https://github.com/hossainyousuf751/microstructure-lab
+Project-URL: Documentation, https://github.com/hossainyousuf751/microstructure-lab#readme
+Project-URL: Changelog, https://github.com/hossainyousuf751/microstructure-lab/blob/main/CHANGELOG.md
+Project-URL: Issues, https://github.com/hossainyousuf751/microstructure-lab/issues
+Keywords: market microstructure,limit order book,order flow imbalance,market making,avellaneda-stoikov,micro-price,binance,bybit
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Science/Research
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy>=1.24
+Requires-Dist: pandas>=2.0
+Provides-Extra: plot
+Requires-Dist: matplotlib>=3.7; extra == "plot"
+Provides-Extra: live
+Requires-Dist: websockets>=12; extra == "live"
+Requires-Dist: requests>=2.28; extra == "live"
+Provides-Extra: dev
+Requires-Dist: pytest>=7; extra == "dev"
+Requires-Dist: matplotlib>=3.7; extra == "dev"
+Requires-Dist: ruff>=0.5; extra == "dev"
+Requires-Dist: build>=1.2; extra == "dev"
+Requires-Dist: twine>=6; extra == "dev"
+Dynamic: license-file
+
+# microstructure-lab
+
+[![tests](https://github.com/hossainyousuf751/microstructure-lab/actions/workflows/ci.yml/badge.svg)](https://github.com/hossainyousuf751/microstructure-lab/actions/workflows/ci.yml) [![license: MIT](https://img.shields.io/badge/license-MIT-blue.svg)](https://github.com/hossainyousuf751/microstructure-lab/blob/main/LICENSE)
+
+Limit order book reconstruction, order-flow analytics, and market-making simulation.
+The analytics are validated on a zero-intelligence order book simulator, then run unchanged
+on live Binance data.
+
+The library alone, from PyPI:
+
+```bash
+pip install lobkit              # add [plot] for figures, [live] to record exchange data
+```
+
+The studies below live in this repository, so to reproduce them clone it and run:
+
+```bash
+pip install -e ".[dev]"
+ruff check . && pytest
+cd examples
+python 01_simulated_lob.py           # order-flow analytics on a simulated book       (~10 s)
+python 02_avellaneda_stoikov.py      # market-making replication                      (~5 s)
+python 05_market_making_in_lob.py    # the market maker inside the simulated book     (~45 s)
+pip install -e "..[live]"
+python 03_record_binance.py btcusdt 900       # record 15 minutes of Binance + Bybit data
+python 04_analyze_recording.py ../data/btcusdt_<timestamp> 0.01    # 0.01 = tick size
+python 06_cross_venue.py ../data/btcusdt_<timestamp>               # which venue leads?
+```
+
+## Components
+
+| Module | What it does |
+|---|---|
+| `book.py` | L2 order book; Binance diff-depth synchronisation with sequence-gap detection |
+| `recorder.py` | Async recorder for Binance best quotes, trades and synchronised L2 depth, plus Bybit best quotes and trades; auto-reconnect; loaders |
+| `simulator.py` | Zero-intelligence limit order book (Cont, Stoikov & Talreja 2010), optional multi-level output and a resting quoter with queue position |
+| `features.py` | Mid, spread, queue imbalance, microprice, order-flow imbalance (OFI, single and multi-level), time buckets |
+| `analysis.py` | Price-impact regressions, impact vs depth, out-of-sample predictability, Stoikov micro-price, cross-venue lead-lag |
+| `market_making.py` | Avellaneda–Stoikov optimal market maker vs a symmetric benchmark, in the paper's model and inside the order book |
+
+See [CONTRIBUTING.md](https://github.com/hossainyousuf751/microstructure-lab/blob/main/CONTRIBUTING.md) for the rules, roles and workflow, and
+[CHANGELOG.md](https://github.com/hossainyousuf751/microstructure-lab/blob/main/CHANGELOG.md) for what changed.
+
+**Book synchronisation.** Binance publishes a REST snapshot plus a diff stream. A correct
+local book has to drop diffs already in the snapshot, check that the first applied diff
+bridges the snapshot's update ID, and verify every later diff continues the sequence exactly.
+`BinanceDepthSync` implements these rules, raises `SequenceGap` on a missed update, and the
+recorder resyncs automatically. Each rule has a unit test.
+
+## Study 1: order flow and prices
+
+On 4.6 simulated hours (400,000 book events) of a market where no participant has information:
+
+| Result | Value | Literature |
+|---|---|---|
+| Δmid on OFI, 10-second buckets | β = 0.285 ticks per unit, **R² = 0.66**, t = 56 | Cont, Kukanov & Stoikov (2014): average R² ≈ 65% on US stocks |
+| Impact coefficient vs 1/depth | linear, R² = 0.93 | β inversely proportional to depth |
+| P(next move up), imbalance 0.1–0.2 → 0.8–0.9 | 0.25 → 0.79, monotone | Gould & Bonart (2016) |
+| Next 10-second move from OFI / imbalance | out-of-sample R² ≤ 0.7% | — |
+| Δmid on OFI of the best 1 → 5 levels, 10 s | out-of-sample R² 0.66 → 0.79 → 0.85 → 0.86 → **0.88** | Xu, Gould & Howison (2019) |
+| Forecast of the mid after the next mid change | Stoikov micro-price −6.6% MSE vs mid; naive microprice −1.3% | Stoikov (2018) |
+
+![OFI impact](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_ofi_impact.png)
+
+![Impact vs depth](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_impact_depth.png)
+
+**Explaining is not predicting.** Order flow explains two-thirds of price changes in the same
+interval but almost none of the next 10 seconds. Queue imbalance strongly predicts the *next*
+price move, but in a liquid book many moves happen within a 10-second bucket. The edge is real
+at the event horizon, and only accessible to someone fast enough to act on it.
+
+![Queue imbalance](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_queue_imbalance.png)
+
+**Deeper order flow matters.** Best-level OFI misses flow that arrives one level back and becomes
+the best queue a moment later. Adding the second level lifts out-of-sample R² from 0.66 to 0.79,
+and five levels reach 0.88. In-sample and out-of-sample R² agree, so this is not overfitting.
+
+![Multi-level OFI](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_multi_level_ofi.png)
+
+**The naive microprice overshoots; Stoikov's micro-price doesn't.** The imbalance-weighted mid is
+a worse forecast of the very next mid than the mid itself (−82% at one update, out of sample), and
+only marginally better at 10–100 updates. With small queues it over-reacts to imbalance.
+Stoikov's (2018) micro-price is estimated as a Markov chain on (spread, imbalance): fitted on the
+first 70% of the data, it shades the mid by at most 0.29 ticks at a one-tick spread, against 0.36
+for the naive formula in the same bucket, and much less when the spread is two ticks. It is built
+to forecast the mid at the next *price changes*, and there it wins clearly: 6.6% lower squared
+error than the mid for the next change, and 4.2% for the one after, against 1.3% and 2.6% for the
+naive microprice. At one book update it still loses to the mid (−18%), because most updates
+don't move the price at all.
+
+![Micro-price](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_microprice.png)
+
+One detail matters for the estimator: with small integer queues a perfectly balanced book
+(imbalance exactly 0.5) is common. With the usual 10 imbalance buckets those states land in an
+"up" bucket and break the symmetry the method relies on, so lobkit uses an odd number (11).
+
+## Study 2: Avellaneda–Stoikov market making
+
+The market maker quotes around a reservation price r = s − qγσ²(T − t), shifted against its
+inventory q, with the optimal spread γσ²(T − t) + (2/γ)ln(1 + γ/k). The symmetric benchmark uses
+the same spread centred on the mid. Paper parameters: s₀ = 100, σ = 2, T = 1, dt = 0.005,
+A = 140, k = 1.5, 4,000 simulations:
+
+| γ | Strategy | Mean P&L | Std P&L | Std final inventory |
+|---|---|---|---|---|
+| 0.01 | inventory | 66.8 | 8.9 | 5.4 |
+| 0.01 | symmetric | 67.1 | 13.8 | 9.0 |
+| **0.1** | **inventory** | **63.4** | **6.4** | **3.0** |
+| **0.1** | **symmetric** | **66.8** | **13.1** | **8.6** |
+| 0.5 | inventory | 47.3 | 5.8 | 2.0 |
+| 0.5 | symmetric | 57.7 | 11.6 | 7.2 |
+
+The paper reports approximately 62.9 (std 5.9) and 67.2 (std 13.4) for γ = 0.1. Inventory
+management halves P&L volatility and keeps inventory three times tighter, for about 5% less profit.
+
+![Avellaneda-Stoikov](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/avellaneda_stoikov.png)
+
+**A finding along the way.** My first implementation evaluated fills before moving the mid within
+each time step, and gave 65.1 for the inventory strategy, about 2 above the paper and outside
+Monte Carlo error. Moving the mid first, then evaluating fills against quotes set before the
+move, reproduces the paper. It is also the more realistic ordering: it captures adverse
+selection, where quotes the price has moved through are more likely to fill.
+
+## Study 3: live Binance data
+
+`03_record_binance.py` records best quotes, trades and synchronised L2 depth for any spot pair;
+`04_analyze_recording.py` runs the same analysis as Study 1 at 1-second buckets, plus multi-level
+OFI on the recorded top-10 depth (sampled once a second, so 5-second buckets). Comparing the
+simulated and live tables shows which effects are mechanical consequences of the order book
+and which require informed traders. Record at least 15 minutes; the script warns when there is
+too little data to say anything.
+
+Results for one session: BTCUSDT, 40 minutes on 2026-11-01 from 03:18 local time (76,296 quote
+updates, 5,813 trades). It was a quiet market: the price stayed within a 181 USDT range and the
+mid changed 688 times, about once every 3.5 seconds. That session is one sample, not a study, and
+the recording is not in the repository (market data is never committed), so treat these numbers
+as an illustration of the pipeline.
+
+| Result | Live, 1 s buckets | Simulated |
+|---|---|---|
+| Δmid on OFI | β = 0.221 USDT per unit, **R² = 0.56**, t = 55 | R² = 0.42 at 1 s (Study 5), 0.66 at 10 s |
+| Impact coefficient vs 1/depth | R² = 0.85 across depth quintiles | R² = 0.93 (10 s) |
+| P(next move up), imbalance < 0.1 → > 0.9 | 0.38 → 0.97, not monotone in between | monotone |
+| Next 1 s move from queue imbalance | out-of-sample R² 3.3% | 0.7% (next 10 s) |
+| Multi-level OFI, best 1 → 10 levels (5 s) | out-of-sample R² 0.50 → 0.40–0.49: no gain | 0.66 → 0.88, 1 → 5 levels (10 s) |
+| Micro-price vs mid, next price change | Stoikov −0.34% MSE, naive −0.32%: no real edge | Stoikov −6.6%, naive −1.3% |
+
+![Binance OFI impact](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/binance_btcusdt_ofi_impact.png)
+
+**What survives contact with a real book.** The contemporaneous OFI relation is at least as
+strong live as in the simulator at 1-second buckets, and impact is still larger when the book is
+thin. Queue imbalance predicts the next move at the extremes, and on the live book it even has a
+little out-of-sample power over the next second.
+
+**What doesn't.** Deeper levels add nothing out of sample, while they explained a lot in the
+simulator. On BTCUSDT the levels behind the best quote are a cent apart and mostly small resting
+orders, so their flow carries little information. Neither micro-price beats the mid by more than
+a third of a percent. Most rows sit at a one-tick spread with the price unchanged. The 688 price
+changes include 323 updates where one side of the book thinned out for an instant and the spread
+jumped past 1 USDT (up to 10.8), and a squared-error comparison over so few moves is decided by
+those points. A busier session, or a robust loss, is the next step.
+
+## Study 4: the market maker inside the order book
+
+Study 2 assumes fills arrive at rate A·e^(−kδ), independent of what the price does next. In a real
+book an order fills only when market orders have eaten the queue ahead of it, which is exactly
+when the price is about to move through it. `05_market_making_in_lob.py` puts the same quoter
+into the zero-intelligence book: one unit per side, joining the back of the queue, keeping its
+place if the quote doesn't change at the once-a-second requote, and filling only when a market
+order reaches it.
+
+The paper's inputs are calibrated on the book itself: σ = 1.08 ticks/√s from 1-second mid
+changes; A = 0.59 fills/s and k = 1.39 per tick from a quoter resting at fixed distances from the
+mid. Episodes last T = 300 s, 200 per row:
+
+| γ | Strategy | Mean P&L | Std P&L | Std final inventory | Fills | Spread captured | Adverse sel. 1 s | Adverse sel. 10 s | Kept |
+|---|---|---|---|---|---|---|---|---|---|
+| 0.001 | inventory | 30.1 | 25.9 | 4.0 | 71 | 0.82 | −0.21 | −0.30 | 63% |
+| 0.001 | symmetric | 46.5 | 58.3 | 7.2 | 70 | 0.84 | −0.18 | −0.17 | 80% |
+| **0.005** | **inventory** | **19.4** | **13.3** | **2.4** | **64** | **0.79** | **−0.30** | **−0.48** | **39%** |
+| **0.005** | **symmetric** | **28.9** | **59.0** | **6.9** | **51** | **0.88** | **−0.19** | **−0.20** | **77%** |
+| 0.02 | inventory | 8.0 | 7.5 | 1.4 | 26 | 0.81 | −0.35 | −0.53 | 35% |
+| 0.02 | symmetric | 14.5 | 25.9 | 4.1 | 18 | 0.96 | −0.20 | −0.17 | 82% |
+
+(P&L in ticks; spread captured and adverse selection in ticks per fill; "kept" is after 10 s. Markouts
+leave out fills too close to the end of an episode to have a full horizon.)
+
+**Inventory control still works.** The skewed quoter cuts P&L volatility by 2.3–4.4× and final
+inventory by 1.8–2.9×, as in the paper.
+
+**But it pays for it in adverse selection.** Every fill captures 0.79–0.96 ticks against the mid
+at that moment. Ten seconds later the symmetric quoter has given back about a fifth of that; the
+inventory quoter gives back 37–65%. To unload inventory it quotes aggressively on one side, often
+alone at a new best price, and an order alone at the front is the first to be hit when the price
+moves. As a result inventory control costs 33–45% of mean P&L here, against about 5% in the
+paper's model (Study 2), where a fill says little about the next price move.
+
+**The two costs have different clocks.** The symmetric quoter's loss is complete within a second
+(−0.17 to −0.21 ticks at both horizons): it is the tick the price jumps when the quoter's queue
+is used up. The inventory quoter loses −0.21 to −0.35 in the first second and keeps losing until
+−0.30 to −0.53 at ten seconds, so its fills come before sustained moves, not just a one-tick jump.
+
+![AS in the LOB](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/as_in_lob.png)
+
+## Study 5: which venue moves first?
+
+`06_cross_venue.py` compares the Binance and Bybit BTCUSDT books recorded in the same session,
+on one local clock. `lead_lag` correlates the two venues' mid returns at lags of ±2 s on a 50 ms
+grid; `cross_venue_impact` asks how much of each venue's 1-second price change its own and the
+other venue's order flow explain, and whether either venue's flow or return predicts the other's
+*next* second. Following the repo's rule, the estimators are first run where the answer is
+known: a simulated venue B that copies venue A 300 ms late. They find the delay exactly
+(correlation 1.00 at +300 ms) and the direction: only B's next move is predictable from A.
+
+Same session as Study 3 (40 minutes; 76,296 Binance and 24,969 Bybit quote updates):
+
+| Target venue | R² own OFI | R² other venue's OFI | R² both | Next 1 s from other's OFI (OOS) | Next 1 s from other's return (OOS) |
+|---|---|---|---|---|---|
+| Binance | 0.56 | 0.16 | 0.56 | 0.014 | 0.009 |
+| Bybit | 0.58 | 0.28 | 0.60 | 0.004 | 0.004 |
+
+![Lead-lag](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/cross_venue_lead_lag.png)
+
+**No exploitable lead at this resolution.** Returns are most correlated at 0 ms (0.09): the
+venues move within the same 50 ms. Each venue's own order flow explains its price far better than
+the other's. Neither venue's flow or return predicts the other's next second by more than about
+1% out of sample. There is more correlation at negative lags (Bybit first, summed 0.62 against
+0.20 for Binance first), and it persisted after the recorder's timestamp bug was fixed (see
+CHANGELOG), but Bybit's price changed only 218 times, so this is a hypothesis for a longer
+recording, not a finding. One limitation is built in: timestamps are local receive times, so each
+venue's network latency to the recording machine is part of the measured lag. A lead shorter than
+the difference in latencies can't be seen from one machine.
+
+## Roadmap
+
+- [x] **M1** Book sync, recorder, ZI simulator, OFI/imbalance analytics, Avellaneda–Stoikov replication
+- [x] **M2** Multi-level OFI (Xu, Gould & Howison 2019) using the recorded L2 depth
+- [x] **M3** Stoikov (2018) micro-price, estimated as a Markov chain on (imbalance, spread)
+- [x] **M4** Run the Avellaneda–Stoikov quoter inside the order book simulator, with queue position and adverse selection
+- [x] **M5** Cross-venue study: OFI and lead-lag between Binance and a second exchange (Bybit)
+
+## References
+
+- Avellaneda, M. & Stoikov, S. (2008). High-frequency trading in a limit order book. *Quantitative Finance* 8(3).
+- Cont, R., Stoikov, S. & Talreja, R. (2010). A stochastic model for order book dynamics. *Operations Research* 58(3).
+- Cont, R., Kukanov, A. & Stoikov, S. (2014). The price impact of order book events. *Journal of Financial Econometrics* 12(1).
+- Gould, M. & Bonart, J. (2016). Queue imbalance as a one-tick-ahead price predictor in a limit order book. *Market Microstructure and Liquidity* 2(2).
+- Stoikov, S. (2018). The micro-price: a high-frequency estimator of future prices. *Quantitative Finance* 18(12).
+- Xu, K., Gould, M. D. & Howison, S. D. (2019). Multi-level order-flow imbalance in a limit order book. *Market Microstructure and Liquidity* 4(3–4).

lobkit-0.2.1/README.md

@@ -0,0 +1,249 @@
+# microstructure-lab
+
+[![tests](https://github.com/hossainyousuf751/microstructure-lab/actions/workflows/ci.yml/badge.svg)](https://github.com/hossainyousuf751/microstructure-lab/actions/workflows/ci.yml) [![license: MIT](https://img.shields.io/badge/license-MIT-blue.svg)](https://github.com/hossainyousuf751/microstructure-lab/blob/main/LICENSE)
+
+Limit order book reconstruction, order-flow analytics, and market-making simulation.
+The analytics are validated on a zero-intelligence order book simulator, then run unchanged
+on live Binance data.
+
+The library alone, from PyPI:
+
+```bash
+pip install lobkit              # add [plot] for figures, [live] to record exchange data
+```
+
+The studies below live in this repository, so to reproduce them clone it and run:
+
+```bash
+pip install -e ".[dev]"
+ruff check . && pytest
+cd examples
+python 01_simulated_lob.py           # order-flow analytics on a simulated book       (~10 s)
+python 02_avellaneda_stoikov.py      # market-making replication                      (~5 s)
+python 05_market_making_in_lob.py    # the market maker inside the simulated book     (~45 s)
+pip install -e "..[live]"
+python 03_record_binance.py btcusdt 900       # record 15 minutes of Binance + Bybit data
+python 04_analyze_recording.py ../data/btcusdt_<timestamp> 0.01    # 0.01 = tick size
+python 06_cross_venue.py ../data/btcusdt_<timestamp>               # which venue leads?
+```
+
+## Components
+
+| Module | What it does |
+|---|---|
+| `book.py` | L2 order book; Binance diff-depth synchronisation with sequence-gap detection |
+| `recorder.py` | Async recorder for Binance best quotes, trades and synchronised L2 depth, plus Bybit best quotes and trades; auto-reconnect; loaders |
+| `simulator.py` | Zero-intelligence limit order book (Cont, Stoikov & Talreja 2010), optional multi-level output and a resting quoter with queue position |
+| `features.py` | Mid, spread, queue imbalance, microprice, order-flow imbalance (OFI, single and multi-level), time buckets |
+| `analysis.py` | Price-impact regressions, impact vs depth, out-of-sample predictability, Stoikov micro-price, cross-venue lead-lag |
+| `market_making.py` | Avellaneda–Stoikov optimal market maker vs a symmetric benchmark, in the paper's model and inside the order book |
+
+See [CONTRIBUTING.md](https://github.com/hossainyousuf751/microstructure-lab/blob/main/CONTRIBUTING.md) for the rules, roles and workflow, and
+[CHANGELOG.md](https://github.com/hossainyousuf751/microstructure-lab/blob/main/CHANGELOG.md) for what changed.
+
+**Book synchronisation.** Binance publishes a REST snapshot plus a diff stream. A correct
+local book has to drop diffs already in the snapshot, check that the first applied diff
+bridges the snapshot's update ID, and verify every later diff continues the sequence exactly.
+`BinanceDepthSync` implements these rules, raises `SequenceGap` on a missed update, and the
+recorder resyncs automatically. Each rule has a unit test.
+
+## Study 1: order flow and prices
+
+On 4.6 simulated hours (400,000 book events) of a market where no participant has information:
+
+| Result | Value | Literature |
+|---|---|---|
+| Δmid on OFI, 10-second buckets | β = 0.285 ticks per unit, **R² = 0.66**, t = 56 | Cont, Kukanov & Stoikov (2014): average R² ≈ 65% on US stocks |
+| Impact coefficient vs 1/depth | linear, R² = 0.93 | β inversely proportional to depth |
+| P(next move up), imbalance 0.1–0.2 → 0.8–0.9 | 0.25 → 0.79, monotone | Gould & Bonart (2016) |
+| Next 10-second move from OFI / imbalance | out-of-sample R² ≤ 0.7% | — |
+| Δmid on OFI of the best 1 → 5 levels, 10 s | out-of-sample R² 0.66 → 0.79 → 0.85 → 0.86 → **0.88** | Xu, Gould & Howison (2019) |
+| Forecast of the mid after the next mid change | Stoikov micro-price −6.6% MSE vs mid; naive microprice −1.3% | Stoikov (2018) |
+
+![OFI impact](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_ofi_impact.png)
+
+![Impact vs depth](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_impact_depth.png)
+
+**Explaining is not predicting.** Order flow explains two-thirds of price changes in the same
+interval but almost none of the next 10 seconds. Queue imbalance strongly predicts the *next*
+price move, but in a liquid book many moves happen within a 10-second bucket. The edge is real
+at the event horizon, and only accessible to someone fast enough to act on it.
+
+![Queue imbalance](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_queue_imbalance.png)
+
+**Deeper order flow matters.** Best-level OFI misses flow that arrives one level back and becomes
+the best queue a moment later. Adding the second level lifts out-of-sample R² from 0.66 to 0.79,
+and five levels reach 0.88. In-sample and out-of-sample R² agree, so this is not overfitting.
+
+![Multi-level OFI](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_multi_level_ofi.png)
+
+**The naive microprice overshoots; Stoikov's micro-price doesn't.** The imbalance-weighted mid is
+a worse forecast of the very next mid than the mid itself (−82% at one update, out of sample), and
+only marginally better at 10–100 updates. With small queues it over-reacts to imbalance.
+Stoikov's (2018) micro-price is estimated as a Markov chain on (spread, imbalance): fitted on the
+first 70% of the data, it shades the mid by at most 0.29 ticks at a one-tick spread, against 0.36
+for the naive formula in the same bucket, and much less when the spread is two ticks. It is built
+to forecast the mid at the next *price changes*, and there it wins clearly: 6.6% lower squared
+error than the mid for the next change, and 4.2% for the one after, against 1.3% and 2.6% for the
+naive microprice. At one book update it still loses to the mid (−18%), because most updates
+don't move the price at all.
+
+![Micro-price](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/simulated_lob_microprice.png)
+
+One detail matters for the estimator: with small integer queues a perfectly balanced book
+(imbalance exactly 0.5) is common. With the usual 10 imbalance buckets those states land in an
+"up" bucket and break the symmetry the method relies on, so lobkit uses an odd number (11).
+
+## Study 2: Avellaneda–Stoikov market making
+
+The market maker quotes around a reservation price r = s − qγσ²(T − t), shifted against its
+inventory q, with the optimal spread γσ²(T − t) + (2/γ)ln(1 + γ/k). The symmetric benchmark uses
+the same spread centred on the mid. Paper parameters: s₀ = 100, σ = 2, T = 1, dt = 0.005,
+A = 140, k = 1.5, 4,000 simulations:
+
+| γ | Strategy | Mean P&L | Std P&L | Std final inventory |
+|---|---|---|---|---|
+| 0.01 | inventory | 66.8 | 8.9 | 5.4 |
+| 0.01 | symmetric | 67.1 | 13.8 | 9.0 |
+| **0.1** | **inventory** | **63.4** | **6.4** | **3.0** |
+| **0.1** | **symmetric** | **66.8** | **13.1** | **8.6** |
+| 0.5 | inventory | 47.3 | 5.8 | 2.0 |
+| 0.5 | symmetric | 57.7 | 11.6 | 7.2 |
+
+The paper reports approximately 62.9 (std 5.9) and 67.2 (std 13.4) for γ = 0.1. Inventory
+management halves P&L volatility and keeps inventory three times tighter, for about 5% less profit.
+
+![Avellaneda-Stoikov](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/avellaneda_stoikov.png)
+
+**A finding along the way.** My first implementation evaluated fills before moving the mid within
+each time step, and gave 65.1 for the inventory strategy, about 2 above the paper and outside
+Monte Carlo error. Moving the mid first, then evaluating fills against quotes set before the
+move, reproduces the paper. It is also the more realistic ordering: it captures adverse
+selection, where quotes the price has moved through are more likely to fill.
+
+## Study 3: live Binance data
+
+`03_record_binance.py` records best quotes, trades and synchronised L2 depth for any spot pair;
+`04_analyze_recording.py` runs the same analysis as Study 1 at 1-second buckets, plus multi-level
+OFI on the recorded top-10 depth (sampled once a second, so 5-second buckets). Comparing the
+simulated and live tables shows which effects are mechanical consequences of the order book
+and which require informed traders. Record at least 15 minutes; the script warns when there is
+too little data to say anything.
+
+Results for one session: BTCUSDT, 40 minutes on 2026-11-01 from 03:18 local time (76,296 quote
+updates, 5,813 trades). It was a quiet market: the price stayed within a 181 USDT range and the
+mid changed 688 times, about once every 3.5 seconds. That session is one sample, not a study, and
+the recording is not in the repository (market data is never committed), so treat these numbers
+as an illustration of the pipeline.
+
+| Result | Live, 1 s buckets | Simulated |
+|---|---|---|
+| Δmid on OFI | β = 0.221 USDT per unit, **R² = 0.56**, t = 55 | R² = 0.42 at 1 s (Study 5), 0.66 at 10 s |
+| Impact coefficient vs 1/depth | R² = 0.85 across depth quintiles | R² = 0.93 (10 s) |
+| P(next move up), imbalance < 0.1 → > 0.9 | 0.38 → 0.97, not monotone in between | monotone |
+| Next 1 s move from queue imbalance | out-of-sample R² 3.3% | 0.7% (next 10 s) |
+| Multi-level OFI, best 1 → 10 levels (5 s) | out-of-sample R² 0.50 → 0.40–0.49: no gain | 0.66 → 0.88, 1 → 5 levels (10 s) |
+| Micro-price vs mid, next price change | Stoikov −0.34% MSE, naive −0.32%: no real edge | Stoikov −6.6%, naive −1.3% |
+
+![Binance OFI impact](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/binance_btcusdt_ofi_impact.png)
+
+**What survives contact with a real book.** The contemporaneous OFI relation is at least as
+strong live as in the simulator at 1-second buckets, and impact is still larger when the book is
+thin. Queue imbalance predicts the next move at the extremes, and on the live book it even has a
+little out-of-sample power over the next second.
+
+**What doesn't.** Deeper levels add nothing out of sample, while they explained a lot in the
+simulator. On BTCUSDT the levels behind the best quote are a cent apart and mostly small resting
+orders, so their flow carries little information. Neither micro-price beats the mid by more than
+a third of a percent. Most rows sit at a one-tick spread with the price unchanged. The 688 price
+changes include 323 updates where one side of the book thinned out for an instant and the spread
+jumped past 1 USDT (up to 10.8), and a squared-error comparison over so few moves is decided by
+those points. A busier session, or a robust loss, is the next step.
+
+## Study 4: the market maker inside the order book
+
+Study 2 assumes fills arrive at rate A·e^(−kδ), independent of what the price does next. In a real
+book an order fills only when market orders have eaten the queue ahead of it, which is exactly
+when the price is about to move through it. `05_market_making_in_lob.py` puts the same quoter
+into the zero-intelligence book: one unit per side, joining the back of the queue, keeping its
+place if the quote doesn't change at the once-a-second requote, and filling only when a market
+order reaches it.
+
+The paper's inputs are calibrated on the book itself: σ = 1.08 ticks/√s from 1-second mid
+changes; A = 0.59 fills/s and k = 1.39 per tick from a quoter resting at fixed distances from the
+mid. Episodes last T = 300 s, 200 per row:
+
+| γ | Strategy | Mean P&L | Std P&L | Std final inventory | Fills | Spread captured | Adverse sel. 1 s | Adverse sel. 10 s | Kept |
+|---|---|---|---|---|---|---|---|---|---|
+| 0.001 | inventory | 30.1 | 25.9 | 4.0 | 71 | 0.82 | −0.21 | −0.30 | 63% |
+| 0.001 | symmetric | 46.5 | 58.3 | 7.2 | 70 | 0.84 | −0.18 | −0.17 | 80% |
+| **0.005** | **inventory** | **19.4** | **13.3** | **2.4** | **64** | **0.79** | **−0.30** | **−0.48** | **39%** |
+| **0.005** | **symmetric** | **28.9** | **59.0** | **6.9** | **51** | **0.88** | **−0.19** | **−0.20** | **77%** |
+| 0.02 | inventory | 8.0 | 7.5 | 1.4 | 26 | 0.81 | −0.35 | −0.53 | 35% |
+| 0.02 | symmetric | 14.5 | 25.9 | 4.1 | 18 | 0.96 | −0.20 | −0.17 | 82% |
+
+(P&L in ticks; spread captured and adverse selection in ticks per fill; "kept" is after 10 s. Markouts
+leave out fills too close to the end of an episode to have a full horizon.)
+
+**Inventory control still works.** The skewed quoter cuts P&L volatility by 2.3–4.4× and final
+inventory by 1.8–2.9×, as in the paper.
+
+**But it pays for it in adverse selection.** Every fill captures 0.79–0.96 ticks against the mid
+at that moment. Ten seconds later the symmetric quoter has given back about a fifth of that; the
+inventory quoter gives back 37–65%. To unload inventory it quotes aggressively on one side, often
+alone at a new best price, and an order alone at the front is the first to be hit when the price
+moves. As a result inventory control costs 33–45% of mean P&L here, against about 5% in the
+paper's model (Study 2), where a fill says little about the next price move.
+
+**The two costs have different clocks.** The symmetric quoter's loss is complete within a second
+(−0.17 to −0.21 ticks at both horizons): it is the tick the price jumps when the quoter's queue
+is used up. The inventory quoter loses −0.21 to −0.35 in the first second and keeps losing until
+−0.30 to −0.53 at ten seconds, so its fills come before sustained moves, not just a one-tick jump.
+
+![AS in the LOB](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/as_in_lob.png)
+
+## Study 5: which venue moves first?
+
+`06_cross_venue.py` compares the Binance and Bybit BTCUSDT books recorded in the same session,
+on one local clock. `lead_lag` correlates the two venues' mid returns at lags of ±2 s on a 50 ms
+grid; `cross_venue_impact` asks how much of each venue's 1-second price change its own and the
+other venue's order flow explain, and whether either venue's flow or return predicts the other's
+*next* second. Following the repo's rule, the estimators are first run where the answer is
+known: a simulated venue B that copies venue A 300 ms late. They find the delay exactly
+(correlation 1.00 at +300 ms) and the direction: only B's next move is predictable from A.
+
+Same session as Study 3 (40 minutes; 76,296 Binance and 24,969 Bybit quote updates):
+
+| Target venue | R² own OFI | R² other venue's OFI | R² both | Next 1 s from other's OFI (OOS) | Next 1 s from other's return (OOS) |
+|---|---|---|---|---|---|
+| Binance | 0.56 | 0.16 | 0.56 | 0.014 | 0.009 |
+| Bybit | 0.58 | 0.28 | 0.60 | 0.004 | 0.004 |
+
+![Lead-lag](https://raw.githubusercontent.com/hossainyousuf751/microstructure-lab/main/docs/cross_venue_lead_lag.png)
+
+**No exploitable lead at this resolution.** Returns are most correlated at 0 ms (0.09): the
+venues move within the same 50 ms. Each venue's own order flow explains its price far better than
+the other's. Neither venue's flow or return predicts the other's next second by more than about
+1% out of sample. There is more correlation at negative lags (Bybit first, summed 0.62 against
+0.20 for Binance first), and it persisted after the recorder's timestamp bug was fixed (see
+CHANGELOG), but Bybit's price changed only 218 times, so this is a hypothesis for a longer
+recording, not a finding. One limitation is built in: timestamps are local receive times, so each
+venue's network latency to the recording machine is part of the measured lag. A lead shorter than
+the difference in latencies can't be seen from one machine.
+
+## Roadmap
+
+- [x] **M1** Book sync, recorder, ZI simulator, OFI/imbalance analytics, Avellaneda–Stoikov replication
+- [x] **M2** Multi-level OFI (Xu, Gould & Howison 2019) using the recorded L2 depth
+- [x] **M3** Stoikov (2018) micro-price, estimated as a Markov chain on (imbalance, spread)
+- [x] **M4** Run the Avellaneda–Stoikov quoter inside the order book simulator, with queue position and adverse selection
+- [x] **M5** Cross-venue study: OFI and lead-lag between Binance and a second exchange (Bybit)
+
+## References
+
+- Avellaneda, M. & Stoikov, S. (2008). High-frequency trading in a limit order book. *Quantitative Finance* 8(3).
+- Cont, R., Stoikov, S. & Talreja, R. (2010). A stochastic model for order book dynamics. *Operations Research* 58(3).
+- Cont, R., Kukanov, A. & Stoikov, S. (2014). The price impact of order book events. *Journal of Financial Econometrics* 12(1).
+- Gould, M. & Bonart, J. (2016). Queue imbalance as a one-tick-ahead price predictor in a limit order book. *Market Microstructure and Liquidity* 2(2).
+- Stoikov, S. (2018). The micro-price: a high-frequency estimator of future prices. *Quantitative Finance* 18(12).
+- Xu, K., Gould, M. D. & Howison, S. D. (2019). Multi-level order-flow imbalance in a limit order book. *Market Microstructure and Liquidity* 4(3–4).

lobkit-0.2.1/pyproject.toml

@@ -0,0 +1,54 @@
+[build-system]
+requires = ["setuptools>=77"]   # SPDX license expression (PEP 639)
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "lobkit"
+version = "0.2.1"
+description = "Limit order book reconstruction, order-flow analytics and market-making simulation"
+readme = "README.md"
+license = "MIT"
+license-files = ["LICENSE"]
+authors = [{name = "Yousuf Hossain Shafeen"}]
+requires-python = ">=3.10"
+keywords = ["market microstructure", "limit order book", "order flow imbalance", "market making",
+            "avellaneda-stoikov", "micro-price", "binance", "bybit"]
+classifiers = [
+    "Development Status :: 4 - Beta",
+    "Intended Audience :: Science/Research",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Operating System :: OS Independent",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3.10",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "Programming Language :: Python :: 3.13",
+    "Topic :: Office/Business :: Financial :: Investment",
+    "Topic :: Scientific/Engineering :: Mathematics",
+]
+dependencies = ["numpy>=1.24", "pandas>=2.0"]
+
+[project.urls]
+Homepage = "https://github.com/hossainyousuf751/microstructure-lab"
+Documentation = "https://github.com/hossainyousuf751/microstructure-lab#readme"
+Changelog = "https://github.com/hossainyousuf751/microstructure-lab/blob/main/CHANGELOG.md"
+Issues = "https://github.com/hossainyousuf751/microstructure-lab/issues"
+
+[project.optional-dependencies]
+plot = ["matplotlib>=3.7"]
+live = ["websockets>=12", "requests>=2.28"]
+dev = ["pytest>=7", "matplotlib>=3.7", "ruff>=0.5", "build>=1.2", "twine>=6"]
+
+[tool.setuptools.packages.find]
+where = ["src"]
+
+[tool.pytest.ini_options]
+testpaths = ["tests"]
+markers = ["slow: takes more than a few seconds; deselect with -m \"not slow\""]
+
+[tool.ruff]
+line-length = 120
+
+[tool.ruff.lint]
+select = ["E", "F", "W", "B", "UP"]
+ignore = ["B008"]   # frozen dataclass defaults are safe

lobkit-0.2.1/setup.cfg

@@ -0,0 +1,4 @@
+[egg_info]
+tag_build = 
+tag_date = 0
+

lobkit-0.2.1/src/lobkit/__init__.py

@@ -0,0 +1,18 @@
+"""lobkit: limit order book reconstruction, order-flow analytics and market making."""
+
+from lobkit.analysis import (
+    MicroPrice, RegressionResult, cross_venue_impact, estimate_microprice, impact_by_depth, imbalance_next_move,
+    lead_lag, microprice_forecast_error, multi_level_impact, ofi_price_impact, predictive_r2,
+)
+from lobkit.book import BinanceDepthSync, OrderBook, SequenceGap
+from lobkit.features import bucket_features, l1_features, multi_level_ofi, order_flow_imbalance
+from lobkit.market_making import ASParams, ASResult, optimal_spread, reservation_price, simulate_as
+from lobkit.simulator import SimulationResult, simulate_lob
+
+__all__ = [
+    "ASParams", "ASResult", "BinanceDepthSync", "MicroPrice", "OrderBook", "RegressionResult", "SequenceGap",
+    "SimulationResult", "bucket_features", "cross_venue_impact", "estimate_microprice", "imbalance_next_move",
+    "impact_by_depth", "l1_features", "lead_lag", "microprice_forecast_error", "multi_level_impact",
+    "multi_level_ofi", "ofi_price_impact", "optimal_spread", "order_flow_imbalance", "predictive_r2",
+    "reservation_price", "simulate_as", "simulate_lob",
+]