Class FlowSignals

java.lang.Object
com.quantfinlib.microstructure.FlowSignals
public final class FlowSignals extends Object
Streaming order-flow signals for short-horizon execution decisions: the three imbalances an execution engine reads before crossing a spread — cross-asset (equity ticks or raw FX rates; see the two onQuote entry points) —
  • Order-flow imbalance (OFI) — Cont/Kukanov/Stoikov best-level formulation: a bid price/size increase or ask decrease is buying pressure; the mirror is selling pressure. Exponentially time-decayed so the signal is a "recent net flow" with a configurable memory;
  • Queue imbalance — (bidSize - askSize)/(bidSize + askSize) at the inside, the classic next-tick-direction predictor;
  • Trade imbalance — time-decayed signed aggressor volume over time-decayed total volume (+1 = all buying, -1 = all selling).

Zero allocation per event, single-writer, primitives only — feed it from the same thread as your book builder or bus callback. Microprice itself lives in pricing.FairValueEngine; these are its flow-side complements.

  • Constructor Summary

    Constructors
    Constructor
    Description
    FlowSignals()
    500 ms half-life.
    FlowSignals(long halfLifeNanos)
     

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    ofi()
    Time-decayed net order-flow imbalance in shares (+ = buying pressure).
    double
    ofi(long nowNanos)
    Decay-adjusted OFI as of nowNanos without adding an event.
    void
    onQuote(double bid, long bidSz, double ask, long askSz, long timestampNanos)
    Inside-quote update on raw double prices — the cross-asset entry point (FX rates, or anything not tick-gridded).
    void
    onQuote(int bidTick, long bidSz, int askTick, long askSz, long timestampNanos)
    Inside-quote update (ticks + sizes).
    void
    onTrade(boolean buyAggressor, long quantity, long timestampNanos)
    Trade print with aggressor side: buyAggressor true when the buyer crossed the spread (trade at/above ask under Lee-Ready).
    double
    queueImbalance()
    Inside-queue imbalance in [-1, 1]; 0 when either side is empty/unset.
    long
    quoteCount()
     
    long
    tradeCount()
     
    double
    tradeImbalance()
    Signed/total decayed aggressor volume in [-1, 1]; 0 before any trade.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • FlowSignals

      public FlowSignals(long halfLifeNanos)
      Parameters:
      halfLifeNanos - decay half-life for OFI and trade imbalance; e.g. 500ms = 500_000_000L. Shorter = twitchier.

    • FlowSignals

      public FlowSignals()
      500 ms half-life.

  • Method Details

    • onQuote

      public void onQuote(int bidTick, long bidSz, int askTick, long askSz, long timestampNanos)
      Inside-quote update (ticks + sizes). The OFI contribution of this event, per the best-level formulation: bid up/size up ⇒ +, bid down ⇒ −, ask down/size up ⇒ −, ask up ⇒ +.

      One-sided quotes (either size ≤ 0, e.g. an Nbbo sentinel after the last venue on a side drops) and non-dealable prices (NaN, zero, negative, infinite — placeholder sentinels) are treated as a signal GAP: queue imbalance reads 0 and no OFI contribution is booked — a feed artifact must not look like an aggressive sweep. The next two-sided dealable quote re-seeds the OFI baseline. This is the same gate SignalEngine applies, so both classify identically.

    • onQuote

      public void onQuote(double bid, long bidSz, double ask, long askSz, long timestampNanos)
      Inside-quote update on raw double prices — the cross-asset entry point (FX rates, or anything not tick-gridded). Same semantics as the tick overload: price comparisons drive the OFI legs, so any monotonic price representation works.

    • onTrade

      public void onTrade(boolean buyAggressor, long quantity, long timestampNanos)
      Trade print with aggressor side: buyAggressor true when the buyer crossed the spread (trade at/above ask under Lee-Ready).

    • ofi

      public double ofi()
      Time-decayed net order-flow imbalance in shares (+ = buying pressure).

    • ofi

      public double ofi(long nowNanos)
      Decay-adjusted OFI as of nowNanos without adding an event.

    • queueImbalance

      public double queueImbalance()
      Inside-queue imbalance in [-1, 1]; 0 when either side is empty/unset.

    • tradeImbalance

      public double tradeImbalance()
      Signed/total decayed aggressor volume in [-1, 1]; 0 before any trade.

    • quoteCount

      public long quoteCount()

    • tradeCount

      public long tradeCount()