Order Book Depth Imbalance with Fixed Profit and Loss Exits

Summary

This strategy compares aggregated bid and ask quantities across a configurable number of price levels. It monitors the imbalance repeatedly, and enters a long or short position when one side exceeds the other by a chosen ratio for the required consecutive observations. Position size is set as a fraction of the initial coin balance. Once entered, the trade is monitored against fixed percentage take-profit and stop-loss levels.

The document provides implementation parameters and source logic, but no backtest results or evidence that the imbalance predicts future price movement. It warns that the strategy is for learning and should be used cautiously in live markets. Its effectiveness depends on order book data quality, the selected depth and sampling intervals, and execution conditions. As presented, the logic relies on a snapshot-based book signal and fixed exits, so it does not establish robustness across venues or changing liquidity conditions.

Key ideas

• The entry signal compares aggregated bid and ask quantities across selected order book levels.
• A directional trade requires the imbalance to persist for consecutive observations.
• Trade size is based on a configurable fraction of the initial coin balance.
• Open positions are closed when price crosses a fixed percentage profit or loss threshold.
• The document offers no performance evidence and advises caution in live trading.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.