Level 2 Market Microstructure Analyzer (OFI)

A high-performance Python engine that detects Order Flow Imbalance (OFI) and Hidden Liquidity (Icebergs) on the Kraken BTC/USD exchange.

Key Features

Microstructure Math: Calculates OFI (Order Flow Imbalance) vectors to predict short-term price movements, distinguishing between aggressive market orders and passive limit order replenishment.
Event-Driven Architecture: Uses asyncio and websockets to handle 50+ ticks/second without blocking.
Cloud Pipeline: buffers signals and pushes significant "Momentum Ignition" events to AWS DynamoDB and raw tick data to S3 for backtesting.

Name		Name	Last commit message	Last commit date
Latest commit History 5 Commits
.cache		.cache
.local		.local
.ssh		.ssh
.bash_history		.bash_history
.bash_logout		.bash_logout
.bashrc		.bashrc
.gitconfig		.gitconfig
.gitignore		.gitignore
.profile		.profile
.sudo_as_admin_successful		.sudo_as_admin_successful
README.md		README.md
market_engine.py		market_engine.py
requirements.txt		requirements.txt