Execution Features
Liquidity and cost metrics used for execution quality assessment and as execution proxy features.
| Feature | Category | Description |
|---|---|---|
| depth_imbalance | order_flow | Depth imbalance calculation: (sum(bid_depths) - sum(ask_depths)) / (sum(bid_d... |
| effective_spread | statistics | Effective spread: 2 * abs(trade_price - mid_price) - the true cost paid by li... |
| immediate_market_impact | order_flow | Immediate market impact coefficient: mid_price_change / order_size - price el... |
| limit_order_fill_rate | order_flow | Limit order fill rate: fraction of limit orders filled within a time window —... |
| liquidity_consumption_curve | order_flow | Liquidity consumption curve - cumulative depletion of available liquidity acr... |
| log_spread | statistics | Calculate log spread (log(ask/bid)) |
| market_depth_elasticity | order_flow | Market depth elasticity: price_move / change(order_book_depth) - how sensitiv... |
| mid_price | statistics | Mid price: (best_bid_price + best_ask_price) / 2 - instantaneous equilibrium ... |
| orderbook_update_rate | order_flow | Order book update frequency — counts order book change events per second |
| permanent_impact_ratio | order_flow | Permanent impact ratio: long_term_price_change / immediate_impact - proportio... |
| quoted_spread | statistics | Quoted spread: best_ask_price - best_bid_price - the immediate cost of liquid... |
| realized_spread | statistics | Realized spread: post-trade price reversal / quoted spread — measures true ex... |
| spread_bps | statistics | Bid-ask spread in basis points: (ask - bid) / mid_price * 10000 |
| spread_percentile_deviation | statistics | Deviation of current spread from its rolling distribution — detects spread sp... |
| temporary_impact_decay | order_flow | Temporary impact decay rate - measures how fast non-informational price dislo... |
| trade_arrival_imbalance | order_flow | Trade arrival imbalance: ratio of aggressive (market) vs passive (limit) trad... |
| trade_intensity | order_flow | Trade intensity: rolling count of trades - how frequently the market is execu... |
| vwap_execution_deviation | statistics | VWAP execution deviation: (execution_price - vwap) / vwap — measures executio... |