Multi-Level Order-Flow Imbalance in a Limit Order Book
Multi-Level Order-Flow Imbalance in a Limit Order Book
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid stocks on Nasdaq, we fit a simple, linear relationship …