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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Queue imbalance؟

Definition 8.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · الفصل 8 — Order-Book Features

The queue imbalance at the touch is I=(qb−qa)/(qb+qa)I = (q^b - q^a)/(q^b + q^a), where qbq^b and qaq^a are the quantities resting at the best bid and the best ask; it lies in [−1,1][-1, 1] and is positive when the bid queue is the larger.

The book around the touch: three lots at the best bid (99.99), forty at the best ask (100.00). The queue imbalance at the touch is -0.86; over three levels on each side it is (56 - 103)/159 = -0.30, because the deeper bids are larger. A schematic, not data.
Figure 8.1. The book around the touch: three lots at the best bid (99.99), forty at the best ask (100.00). The queue imbalance at the touch is −0.86-0.86; over three levels on each side it is (56−103)/159=−0.30(56 - 103)/159 = -0.30, because the deeper bids are larger. A schematic, not data.
Probability that the next mid-price move is up, by tenth of queue imbalance at a one-tick spread: 0.245 to 0.736 in three hours of firm.tape, against 0.017 to 0.979 for the race of two independent birth–death queues with the rates measured on the same data. Data: firm.tape, seed 8; firm.queues.
Figure 8.2. Probability that the next mid-price move is up, by tenth of queue imbalance at a one-tick spread: 0.245 to 0.736 in three hours of firm.tape, against 0.017 to 0.979 for the race of two independent birth–death queues with the rates measured on the same data. Data: firm.tape, seed 8; firm.queues.
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