Short-term alpha from the order book
Inferring Trade Direction from Intraday Data
The standard algorithm for signing trades as buys or sells (quote rule plus tick rule). Needed whenever your feed lacks the aggressor side.
The Price Impact of Order Book Events
Order flow imbalance (OFI) at the best quotes explains short-horizon price changes linearly, with a slope inversely proportional to depth. The go-to HFT feature.
The micro-price: a high-frequency estimator of future prices
A fair-price estimator built from bid, ask, imbalance and spread that beats the mid and the weighted mid as a short-horizon predictor. Very practical.
Multi-Level Order-Flow Imbalance in a Limit Order Book
Extends OFI beyond the touch. Deeper book levels add explanatory power for mid-price changes.
Enhancing trading strategies with order book signals
Volume imbalance predicts the arrival of market orders and price moves, and is built into optimal market-making and execution strategies.
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
Deep nets fed stationary order-flow-imbalance features beat nets fed raw book states, with predictability strongest at the shortest horizons.
Cross-impact of order flow imbalance in equity markets
Multi-level OFI integrated across levels; cross-asset OFI adds little contemporaneously, but lagged cross-asset OFI helps forecast returns.