Commit 120ec27
committed
feat: enhance L3 estimator with EAQD/DWF and add microstructure metrics
- Refactor L3 split order logic to use Execution-Aware Queue Dynamics (EAQD) and Deep Depth Fragmentation (DWF).
- Fix seniority decay: Fills now consume FIFO, deep cancellations use LIFO, and partial fills retain their queue position.
- Integrate Binance `@trade` stream to capture maker sizes at `bookTicker`, filtering out internal `X: NA` placeholders.
- Introduce Microstructure Metrics panel with dedicated UI toggle.
- Implement Order-to-Trade Ratio (OTR) and Cancellation-to-Trade Ratio (CTR) tracking for Top-1 and Top-20 levels.
- Split CTR/OTR metrics by bid/ask and render using a dual Y-axis over a rolling 200s window.
- Overhaul depth heatmap rendering: limit to top 50 levels, use true black background for empty levels, and map largest orders to brightest red/blue.
- Add UI controls to the heatmap for Z-score standardization (slider and reset button).
- Fix liquidity chart rendering bugs and enable right-click drag-to-zoom on the Sweep / Liquidity-Cost window.1 parent 351dec3 commit 120ec27
2 files changed
Lines changed: 1019 additions & 149 deletions
| Original file line number | Diff line number | Diff line change | |
|---|---|---|---|
| |||
28 | 28 | | |
29 | 29 | | |
30 | 30 | | |
| 31 | + | |
0 commit comments