RESEARCH ONLY — NOT USED FOR TRADINGMILESTONE M4L
Market microstructure, order flow, volume profile, and options gamma evidence layer. Isolated from production strategy and paper execution engines.
TRADE_AUTHORITY: NONERISK_AUTHORITY: NONEEXECUTION_AUTHORITY: NONE
1. Audited Broker Data Capability Matrix
2. Volume Profile (POC, VAH/VAL, HVN/LVN)
APPROXIMATED_VOLUME_PROFILE
3. Order Flow (Delta, CVD, Divergence, Absorption)
Aggressive Buy Volume
0
Aggressive Sell Volume
0
Net Interval Delta
0
Divergence Signal
PRICE_CVD_DIVERGENCE_BULLISH
Absorption Monitor: Candidate Passive Buy Absorption detected at 62,500.00 (Heavy sell tape absorbed without price breakdown).
Confidence: 85%4. Options / Gamma Intelligence (GEX & Gamma Flip)
Underlying:Spot:
5. Crypto Order Book Depth & Microstructure (L1 / L5)
6. Data Quality, Methods & Provenance Registry
Order Flow Aggressor Methods
- • Quote Test: Strict comparison against prevailing bid/ask.
- • Tick Test: Uptick/downtick directional delta with zero-tick carry.
- • Lee-Ready: Hybrid quote-test outside spread, tick-test at midpoint.
- • Firewall Rule: Refuses OHLCV tick fabrication.
Volume Profile Tiers
- • TRADE_LEVEL: Built from real executed trade tape ticks.
- • APPROXIMATED: Discrete candle volume distributed across high-low.
- • POC Tie-Breaking: Deterministic selection closest to VWAP.
- • Value Area: 70% outward expansion from POC.
Gamma & Options Provenance
- • BROKER_NATIVE: Upstox precomputed Greeks.
- • MODEL_DERIVED_GAMMA: Black-Scholes-Merton analytical engine.
- • Expiry Segregation: Strict grouping per contract expiry.
- • Zero Trading Authority: Isolated from live order generation.