Order Flow Analysis of Cryptocurrency Markets

Ed Silantyev
May 4, 2018 · 11 min read

1. Level I Trades and Quotes (TAQ) Data

2. Order Flow Imbalance and Trade Flow Imbalance

3. Results

Results Table

4. Discussion


Ed Silantyev

Written by

Perpetual Beta. @fsp_network creator. Electronic trading systems developer. Cryptocurrency market microstructure specialist.📉📈

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