Algorithm Library
26 order-flow algorithms. Each one trades the L3 market-by-order book — every resting order, its queue position and its nanosecond timestamp — reading cumulative delta, depth imbalance, absorption, iceberg refills and liquidity sweeps in real time. Assign any combination to any asset; all run simultaneously.
Queue Position Fade
Reads where the largest resting order sits in the exchange queue at the touch and fades the side whose queue is thin and front-loaded.
- ▸Ranks every order at the touch by exchange priority
- ▸Fades the side where the biggest order is at the front
- ▸Exits when the queue rebuilds behind the position
Iceberg Refill Continuation
Detects orders that refill at the same price and size — hidden iceberg liquidity — and trades in the direction the iceberg is defending.
- ▸Clusters repeated same-price / same-size orders into iceberg candidates
- ▸Enters long on a defended bid, short on a capped offer
- ▸Exits when the refills stop
Cumulative Delta Divergence
Compares cumulative aggressor delta against price. Price making progress while delta stalls marks exhaustion; the opposite marks absorption into a move.
- ▸Splits traded volume into buyer- and seller-initiated flow
- ▸Flags divergence between delta and price extremes
- ▸Enters against the exhausted side
Absorption Reversal
Finds heavy passive absorption — size that keeps refilling at the touch while aggression is absorbed without price progress — and reverses with it.
- ▸Scores refill volume against pulled volume at the touch
- ▸Requires absorption above 55% and one-sided aggression
- ▸Exits when price escapes the absorption zone
Liquidity Sweep Reclaim
Trades liquidity sweeps: bursts of aggressor orders that run several price levels, then fail to hold the extreme.
- ▸Counts multi-level aggressor bursts inside a 250ms window
- ▸Enters against the swept direction on the reclaim
- ▸Exits on the swept extreme being taken again
Book Imbalance Momentum
Trades sustained depth imbalance across the ladder — when resting bid liquidity dominates the offer, the path of least resistance is up.
- ▸Aggregates the full visible ladder by side
- ▸Requires imbalance beyond 12% to enter
- ▸Exits when imbalance flips past neutral
Book Pressure Gradient
Measures how fast depth builds away from the touch. A steeply stacked side absorbs moves, a thin side accelerates them.
- ▸Compares near-touch liquidity with depth further out
- ▸Enters toward the thinly stacked side
- ▸Exits when the gradient normalises
Aggressor Exhaustion Fade
A one-sided tape that keeps printing without price progress is exhausted flow. Fades the aggressors once their delta stops paying.
- ▸Tracks aggressive volume carried per price bucket
- ▸Requires over 7% net delta dominance and a stalled close
- ▸Exits on renewed progress in the aggressor direction
Stop-Run Reversal
Identifies stop runs — a sweep through the recent extreme that immediately pulls back — and trades the failed breakout.
- ▸Tracks recent highs and lows against sweep events
- ▸Enters when the extreme is reclaimed
- ▸Exits if the extreme is accepted again
Microprice Momentum
Tracks the size-weighted microprice, the fairest short-horizon fair value, and follows it against the mid.
- ▸Computes microprice from touch sizes on both sides
- ▸Enters when microprice separates from mid by half a spread
- ▸Exits when microprice realigns with mid
Spread Compression Breakout
A tightening spread with one-sided depth is a coiled market. Trades the expansion out of compression.
- ▸Tracks the touch spread in basis points
- ▸Requires a sub-1bp spread plus directional imbalance
- ▸Exits when the spread reopens against the position
Layered Imbalance Stack
Looks for stacked resting orders on consecutive levels — layering that either defends a price or marks a wall to be run.
- ▸Scans the ladder for runs of equally-sized levels
- ▸Leans with the defended side
- ▸Exits when the stack unwinds
Queue Depletion Trigger
Enters as the queue at the touch is consumed — a fast drain of resting size typically precedes a directional move.
- ▸Measures pull volume versus refill volume at the touch
- ▸Enters long when bids drain, short when offers drain
- ▸Exits when the drained level refills
Large Print Absorption
A single outsized aggressor print that fails to move price means the other side is deeper. Trades with the passive side.
- ▸Flags price buckets carrying outsized traded volume
- ▸Enters against the aggressor when price holds
- ▸Exits on a follow-through print
Cancellation Burst Reversal
Mass cancellations away from the touch signal participants stepping back. Trades the vacuum they leave behind.
- ▸Counts deletes outside the touch band
- ▸Requires a burst above the recent norm
- ▸Exits when pull rates normalise
Depth Replenishment Continuation
Trades alongside liquidity that is actively being replenished — participants refilling the same side are defending a level.
- ▸Scores absorption with strong refill dominance
- ▸Continues in the direction of the defended side
- ▸Exits when replenishment stops
Sweep Follow-Through
The counterpart to the sweep fade: when the sweep is backed by stacked depth behind it, ride the follow-through instead.
- ▸Requires a sweep plus matching ladder imbalance
- ▸Enters with the sweep direction
- ▸Exits when imbalance unwinds
Iceberg Support Bounce
Repeated refills at a single bid level plus positive delta mark a defended floor; the mirror marks a capped ceiling.
- ▸Combines iceberg clustering with touch absorption
- ▸Enters the bounce off the defended level
- ▸Exits if the level is breached
Order Flow Ignition
Detects ignition: a burst of aggressive volume taking liquidity on multiple levels with aligned cumulative delta.
- ▸Requires strong delta dominance with thin opposing depth
- ▸Enters with the burst
- ▸Exits on delta reversal
Value Area Rotation
Locates the volume-weighted value area from the footprint and rotates back to it when price is stretched outside.
- ▸Builds a traded-volume profile from aggressor prints
- ▸Enters on a stretch beyond the value area edge
- ▸Targets the profile midpoint
Microstructure Mean Reversion
Fades small microstructure dislocations: a stretched microprice with no supporting aggression snaps back to the mid.
- ▸Uses microprice-to-mid distance and delta strength
- ▸Requires a stretched touch with weak aggression
- ▸Exits at the mid
Queue-Priority Breakout
Breaks out when the front-of-queue size at the touch is consumed and the level behind it is thin.
- ▸Combines queue position with ladder thickness
- ▸Enters on a thin-book break
- ▸Exits when the next level builds
Absorption Failure Fade
When a prior absorption zone breaks, the passive side was wrong — trades the continuation as the absorbed flow releases.
- ▸Tracks absorption decay across consecutive evaluations
- ▸Enters with the flow once absorption drops below 30%
- ▸Exits on a fresh absorption build
Opening Drive Imbalance
Trades the opening drive: aligned delta and depth imbalance in the first stretch of the session set the direction for the day.
- ▸Requires aligned delta, imbalance and touch pressure
- ▸Enters with the drive, no counter-trend entries
- ▸Exits when the drive stalls
Delta Neutrality Breakout
A balanced tape resolves into expansion. Trades the first decisive break of delta neutrality.
- ▸Waits for near-zero net delta (balance)
- ▸Enters on the first decisive imbalance
- ▸Exits when delta returns to balance
Resting Liquidity Vacuum
Trades into gaps in the ladder — a side with almost no visible resting size lets price travel.
- ▸Scans the ladder for thin side liquidity
- ▸Enters toward the vacuum
- ▸Exits when the vacuum fills in
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