Microstructure order-flow metrics — Order Flow Imbalance (OFI), depth and trade imbalance. Dependency-free TypeScript.
A simple application that scans completed orders from the Bybit order book for the exchange's main cryptocurrencies. Chart information appears approximately 2-3 seconds ahead of movements on the Bybit or TradingView chart. Useful for scalpers using ultra-short timeframes. The coin list can be modified in the source code.
OFI, VPIN and Kyle's lambda scored against synthetic order flow with known informed-trading intensity — including the finding that BVC-VPIN mostly tracks volatility.
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