NASDAQ 체결 데이터의 매수·매도 호가 간 가격 반전, 주문 흐름과 유동성

# Microstructure Stylized Facts: Bid-Ask Bounce and Liquidity


# Microstructure Stylized Facts: Bid-Ask Bounce and Liquidity

**Chapter 3: Market Microstructure**

**Docker image**: `ml4t`

## Purpose

Demonstrate two of §3.3's stylized facts using NASDAQ ITCH-derived trade
data: (i) bid-ask bounce as negative first-order autocorrelation in
tick-level returns, and (ii) the liquidity spectrum that motivates Chapter
19's price-impact model.

## Learning Objectives

After completing this notebook, you will be able to:
- Compute lag-1 autocorrelation of tick-level trade returns and explain why
  it is negative for typical equities (bid-ask bounce).
- Compare liquidity metrics (volume, dollar value, average trade size,
  intraday volatility) across high-, medium-, and low-liquidity tickers.
- Recognize when trade-price returns must be replaced with mid-price
  returns to avoid microstructure noise.

## Book reference

Section §3.3, *From Raw Messages to the Limit Order Book* — stylized-facts
subsection on bid-ask bounce.

## Prerequisites

- The canonical enriched-trade parquet at
  `03_market_microstructure/output/nasdaq_itch/trading_activity/trades.parquet` and the matching
  `trade_summary.parquet` (used for ticker selection and the liquidity-spectrum
  section); both are produced by `05_itch_trading_activity`.
- For the order-arrival panel, parsed ITCH `A`/`F`/`X` parquets at the
  canonical `data/equities/market/microstructure/nasdaq_itch/messages/`
  path (output of `01_itch_parser`).

---

## 1. Setup

```python
"""Microstructure Stylized Facts — bid-ask bounce, order flow dynamics, and the liquidity spectrum."""

from pathlib import Path

import matplotlib.pyplot as plt
import numpy as np
import polars as pl
import pyarrow.compute as pc
import pyarrow.dataset as ds
from IPython.display import display  # noqa: F401

from data.equities.loader import load_nasdaq_itch
from utils.paths import display_path, get_output_dir, require_chapter_inputs
from utils.style import COLORS, show_with_alt
```

### Declared parameters

`MIN_TRADES` is the floor a ticker must clear to stand for one of the three liquidity
tiers compared in the last section. It is declared here and explained where the tiers
are drawn.

```python
MIN_TRADES = 500
```

```python
NASDAQ_ITCH_OUTPUT = get_output_dir(3, "nasdaq_itch")

# Input: Parsed messages live under the canonical loader path (not under output/).
MESSAGE_DIR = load_nasdaq_itch(get_base_path=True)

# Input: Trade summary from notebook 05 (trading_activity_overview)
TRADING_ACTIVITY_DIR = NASDAQ_ITCH_OUTPUT / "trading_activity"
ENRICHED_DIR = NASDAQ_ITCH_OUTPUT / "enriched"

print(f"Input directory (messages): {display_path(MESSAGE_DIR)}")
print(f"Input directory (trade summary): {display_path(TRADING_ACTIVITY_DIR)}")
```

## 2. Load Trade Data

Load outputs from `05_itch_trading_activity`:
- `trade_summary.parquet`: Aggregated stats by ticker (for symbol selection)
- `trades.parquet`: Canonical tick-level trades (for analysis)

Using the canonical trades file ensures we include enriched E/C data
(executions attributed to a ticker by `05_itch_trading_activity`).

```python
# Load trade summary and canonical trades from notebook 05
TRADE_SUMMARY_PATH = TRADING_ACTIVITY_DIR / "trade_summary.parquet"
TRADES_PATH = TRADING_ACTIVITY_DIR / "trades.parquet"

# Well-known tickers substituted for the ones this dataset traded would let the
# notebook finish with most of its panels empty, so stop and say what is missing.
require_chapter_inputs(
    {
        MESSAGE_DIR: "01_itch_parser",
        TRADE_SUMMARY_PATH: "05_itch_trading_activity",
        TRADES_PATH: "05_itch_trading_activity",
    }
)

# Load trade summary for ticker selection
trade_summary = pl.read_parquet(TRADE_SUMMARY_PATH)
# Sort explicitly by value to ensure correct selection
trade_summary = trade_summary.sort("total_value", descending=True)
num_syms = len(trade_summary)
high_sym = trade_summary["ticker"][0]  # highest value
mid_sym = trade_summary["ticker"][num_syms // 2]  # middle
low_sym = trade_summary["ticker"][-1]  # lowest value
print(f"Loaded trade summary: {num_syms} tickers")

# Load canonical trades (single source of truth for trade extraction)
all_trades = pl.read_parquet(TRADES_PATH)
print(f"Loaded canonical trades: {len(all_trades):,} trades")
if "msg_type" in all_trades.columns:
    msg_breakdown = all_trades.group_by("msg_type").len().sort("msg_type")
    print("  Message type breakdown:")
    for row in msg_breakdown.iter_rows():
        print(f"    {row[0]}: {row[1]:>12,}")

print("\nSelected tickers for analysis:")
print(f"  High liquidity:   {high_sym}")
print(f"  Medium liquidity: {mid_sym}")
print(f"  Low liquidity:    {low_sym}")
```

### Intraday Resampling
Resample tick-level trades to fixed-frequency bars for intraday pattern analysis.

```python
def intraday_resample(trades_df: pl.DataFrame, ticker: str, freq: str = "5m") -> pl.DataFrame:
    """
    Filter trades for a single ticker and resample to intraday bars.

    Args:
        trades_df: Canonical trades DataFrame from notebook 05 (trades.parquet)
        ticker: Stock symbol to filter
        freq: Bar frequency (e.g., "5m", "15m", "30m", "1s")

    Returns:
        DataFrame with columns: timestamp, shares, value, price, vwap, trade_count
    """
    if trades_df is None or len(trades_df) == 0:
        return pl.DataFrame()

    # Filter to ticker
    df = trades_df.filter(pl.col("ticker") == ticker)
    if len(df) == 0:
        return pl.DataFrame()

    # Ensure we have required columns (compute value if missing)
    required = ["timestamp", "shares", "price"]
    if not all(c in df.columns for c in required):
        return pl.DataFrame()

    if "value" not in df.columns:
        df = df.with_columns((pl.col("shares") * pl.col("price")).alias("value"))

    df = df.select(["timestamp", "shares", "price", "value"]).sort("timestamp")

    # Resample to bars using group_by_dynamic
    bars = df.group_by_dynamic("timestamp", every=freq).agg(
        [
            pl.col("shares").sum().alias("shares"),
            pl.col("value").sum().alias("value"),
            pl.col("price").last().alias("price"),
            pl.len().alias("trade_count"),
        ]
    )

    # Calculate VWAP
    bars = bars.with_columns(
        pl.when(pl.col("shares") > 0)
        .then(pl.col("value") / pl.col("shares"))
        .otherwise(None)
        .alias("vwap")
    )

    bars = bars.drop_nulls(subset=["price"])
    return bars
```

## 3. Order Arrivals and Order Sizes

We use the **Add** messages (`A`/`F`) to characterize order arrivals over the
session and the distribution of submitted order sizes, and we report the volume
removed by **partial-cancel** (`X`) messages as a share of submitted volume.
That share is small by construction rather than by finding: an `X` reduces an order's
size, and most orders leave the book whole, through a `D` delete.
`04_itch_order_lifecycle_analysis` measures how often each happens; this notebook
reports only the partial-cancel share and does not re-derive that rate.

```python
def load_add_cancel_for_ticker(base_dir: Path, ticker: str) -> tuple[pl.DataFrame, pl.DataFrame]:
    """
    Load 'A' (Add), 'F' (Add with Mpid), and 'X' (Cancel) for a single ticker.

    Raw X messages carry only a numeric stock_locate, so the enriched files that
    05_itch_trading_activity writes are preferred where they exist: they carry the
    ticker already joined on.

    Returns tuple of (adds_df, cancels_df)
    """
    add_msgs = []
    for mt in ["A", "F"]:
        folder = base_dir / mt
        if not folder.is_dir():
            continue

        try:
            dset = ds.dataset(folder.as_posix(), format="parquet")

            # Try filtering by ticker or stock
            try:
                subset = dset.to_table(filter=pc.equal(pc.field("ticker"), ticker))
            except Exception:
                try:
                    subset = dset.to_table(filter=pc.equal(pc.field("stock"), ticker))
                except Exception:
                    continue

            if subset.num_rows > 0:
                add_msgs.append(pl.from_arrow(subset))
        except Exception:
            pass

    add_df = pl.concat(add_msgs, how="diagonal_relaxed") if add_msgs else pl.DataFrame()

    # Load cancels - prefer enriched X which has stock column
    cancel_df = pl.DataFrame()
    enriched_x = ENRICHED_DIR / "X.parquet"
    x_folder = base_dir / "X"

    if enriched_x.exists():
        # The enriched X file carries the ticker; the raw one carries only stock_locate.
        try:
            df = pl.read_parquet(enriched_x)
            cancel_df = df.filter(pl.col("stock") == ticker)
        except Exception:
            pass
    elif x_folder.is_dir():
        # Fall back to raw X - but note: raw X lacks ticker column
        # This will likely return empty since filtering by ticker/stock won't work
        try:
            dset = ds.dataset(x_folder.as_posix(), format="parquet")
            try:
                sub_x = dset.to_table(filter=pc.equal(pc.field("ticker"), ticker))
            except Exception:
                try:
                    sub_x = dset.to_table(filter=pc.equal(pc.field("stock"), ticker))
                except Exception:
                    sub_x = None

            if sub_x and sub_x.num_rows > 0:
                cancel_df = pl.from_arrow(sub_x)
        except Exception:
            pass

    return add_df, cancel_df
```

### Analyze Order Flow for a Ticker
Compute order submission, cancellation, and size statistics for a given stock.

```python
def analyze_order_flow_for_ticker(base_dir: Path, ticker: str) -> tuple[dict, pl.DataFrame]:
    """
    Analyze order flow patterns for a given ticker.

    Returns tuple of (results dict, standardized add orders DataFrame).
    """
    add_df, cancel_df = load_add_cancel_for_ticker(base_dir, ticker)

    if len(add_df) == 0:
        print(f"{ticker}: No 'Add Order' messages found.")
        return {}, pl.DataFrame()

    # A raw X message names no ticker, so the partial-cancel share can only be computed
    # from the enriched file. Without it the filtered frame is empty and the share is
    # zero for want of data rather than for want of cancels, so the printer says which.
    cancel_data_available = (ENRICHED_DIR / "X.parquet").exists()

    results = {"ticker": ticker, "cancel_data_available": cancel_data_available}

    # Standardize columns using Polars (vectorized)
    # Cast to string first to handle bytes/string mix
    if "buy_sell_indicator" in add_df.columns:
        add_df = add_df.with_columns(pl.col("buy_sell_indicator").cast(pl.Utf8).alias("_side_str"))
        add_df = add_df.with_columns(
            pl.when(pl.col("_side_str") == "B")
            .then(1)
            .when(pl.col("_side_str") == "S")
            .then(-1)
            .otherwise(0)
            .alias("side")
        ).drop("_side_str")

    if "shares" in add_df.columns:
        add_df = add_df.with_columns(pl.col("shares").cast(pl.Float64))

    # Calculate cancellation rate
    if len(cancel_df) > 0 and "cancelled_shares" in cancel_df.columns:
        total_canceled = cancel_df.select(pl.col("cancelled_shares").sum()).item()
    elif len(cancel_df) > 0 and "canceled_shares" in cancel_df.columns:
        total_canceled = cancel_df.select(pl.col("canceled_shares").sum()).item()
    else:
        total_canceled = 0

    total_shares = add_df.select(pl.col("shares").sum()).item() if "shares" in add_df.columns else 0
    # Partial-cancel (X) shares as a fraction of submitted shares. This is NOT the
    # total cancellation rate: full order removal uses D/Delete messages, handled
    # in 04_itch_order_lifecycle_analysis. Reported here only to size the X flow.
    cancel_rate_proxy = total_canceled / total_shares if total_shares > 0 else 0

    results["total_orders"] = len(add_df)
    results["total_shares_submitted"] = total_shares
    results["total_shares_canceled"] = total_canceled
    results["cancel_rate_proxy"] = cancel_rate_proxy

    return results, add_df
```

### Print Order Flow Summary
Display order flow statistics including counts, cancel rates, and size distribution.

```python
def print_order_flow_summary(results: dict, add_df: pl.DataFrame) -> None:
    """Print order flow summary statistics."""
    if not results:
        return

    # Order size distribution
    if "shares" in add_df.columns:
        size_stats = add_df.select(
            [
                pl.col("shares").mean().alias("mean"),
                pl.col("shares").median().alias("median"),
            ]
        ).row(0)
        results["avg_order_size"] = size_stats[0]
        results["median_order_size"] = size_stats[1]

    ticker = results["ticker"]
    print(f"\n{'=' * 50}")
    print(f"Order Flow Analysis: {ticker}")
    print(f"{'=' * 50}")
    print(f"Total Orders:       {results['total_orders']:>12,}")
    print(f"Shares Submitted:   {results['total_shares_submitted']:>12,.0f}")
    if results.get("cancel_data_available", True):
        print(f"Partial-cancel (X) shares:{results['total_shares_canceled']:>12,.0f}")
        print(f"  as % of submitted:      {results['cancel_rate_proxy']:>10.1%}")
        print(
            "  X messages reduce an order; a D removes what is left of one. See "
            "04_itch_order_lifecycle_analysis for how often each happens."
        )
    else:
        print(f"Partial-cancel (X) shares:{'not available':>14}")
        print(
            "  enriched/X.parquet is absent, so cancels cannot be attributed to a "
            "ticker. Run 05_itch_trading_activity to build it."
        )

    if "avg_order_size" in results:
        print("\nOrder Size Statistics:")
        print(f"  Mean:   {results['avg_order_size']:>10,.0f} shares")
        print(f"  Median: {results['median_order_size']:>10,.0f} shares")
```

### Plot Order Flow
Visualize hourly order arrivals and print top order sizes for a ticker.

```python
def plot_order_flow(add_df: pl.DataFrame, ticker: str) -> None:
    """Plot hourly order arrivals and print top order sizes."""
    if len(add_df) == 0:
        return

    # Plot order arrivals by time
    if "timestamp" in add_df.columns:
        add_with_ts = add_df.filter(pl.col("timestamp").is_not_null())
        if len(add_with_ts) > 0:
            arrivals = (
                add_with_ts.sort("timestamp")
                .group_by_dynamic("timestamp", every="1h")
                .agg(pl.len().alias("count"))
            )

            arrivals_pd = arrivals.to_pandas()
            # Use the actual clock hour (HH:MM ET) for the x-axis labels rather than
            # 0..N positional indices. ITCH timestamps are nanoseconds since session
            # midnight ET (the exchange's local clock); strftime renders them directly.
            hour_labels = [ts.strftime("%H:%M") for ts in arrivals_pd["timestamp"]]
            fig, ax = plt.subplots(figsize=(10, 4))
            ax.bar(range(len(arrivals_pd)), arrivals_pd["count"], color=COLORS["blue"])
            ax.set_xticks(range(len(arrivals_pd)))
            ax.set_xticklabels(hour_labels, rotation=45, ha="right")
            ax.set_title(f"{ticker}: orders submitted per hour")
            ax.set_xlabel("Hour of session (US/Eastern)")
            ax.set_ylabel("Orders submitted")
            show_with_alt(
                fig,
                f"A bar chart for {ticker} with one bar per hour of the trading session, labelled with clock times along the horizontal axis and counting the add messages submitted in that hour on the vertical axis.",
            )

    # Top order sizes
    if "shares" in add_df.columns:
        size_counts = (
            add_df.group_by("shares")
            .agg(pl.len().alias("count"))
            .sort("count", descending=True)
            .head(10)
        )
        print("\nTop 10 Order Sizes:")
        for row in size_counts.iter_rows():
            print(f"  {row[0]:>8,.0f} shares: {row[1]:>6,} orders")
```

```python
flow_results, flow_add_df = analyze_order_flow_for_ticker(MESSAGE_DIR, high_sym)
print_order_flow_summary(flow_results, flow_add_df)
plot_order_flow(flow_add_df, high_sym)
```

```python
flow_results, flow_add_df = analyze_order_flow_for_ticker(MESSAGE_DIR, mid_sym)
print_order_flow_summary(flow_results, flow_add_df)
plot_order_flow(flow_add_df, mid_sym)
```

## 4. The Bid-Ask Bounce

A fundamental microstructure phenomenon: trade prices bounce between bid and ask,
creating **negative autocorrelation** in tick-level returns. This is why:
- Mid-price returns are preferred over trade-price returns
- Tick-level "momentum" signals fail
- The Roll (1984) spread estimator works

**Implication for Chapter 8**: Always compute returns from mid-prices, not trade prices.

```python
def compute_tick_autocorrelation(trades_df: pl.DataFrame, ticker: str, max_lags: int = 20) -> dict:
    """
    Compute autocorrelation of tick-level returns to demonstrate bid-ask bounce.

    Note: We use 1-second bars as a proxy for tick data. True tick-by-tick analysis
    would use individual trade prices, but the bounce effect is still visible at
    1-second resolution for liquid stocks.

    Args:
        trades_df: Canonical trades DataFrame from notebook 05
        ticker: Stock symbol to analyze
        max_lags: Maximum number of lags to compute

    Returns:
        Dict with autocorrelation results
    """
    # Use 1-second bars as proxy for ticks (true tick data would be even noisier)
    bars = intraday_resample(trades_df, ticker, freq="1s")
    if len(bars) < 100:
        return {}

    # Compute returns in basis points (1bp = 0.01% = 0.0001)
    # pct_change() returns decimal (e.g., 0.01 = 1%), so multiply by 10000 for bps
    bars = bars.with_columns(
        (pl.col("price").pct_change() * 10000).alias("return_bps"),
    ).drop_nulls()

    returns = bars["return_bps"].to_numpy()

    # Compute autocorrelations
    n = len(returns)
    mean_r = np.mean(returns)
    var_r = np.var(returns)

    autocorrs = []
    for lag in range(1, max_lags + 1):
        if n - lag < 10:
            break
        cov = np.mean((returns[lag:] - mean_r) * (returns[:-lag] - mean_r))
        autocorrs.append(cov / var_r if var_r > 0 else 0)

    return {
        "ticker": ticker,
        "autocorrs": autocorrs,
        "n_obs": n,
        "lag1_autocorr": autocorrs[0] if autocorrs else 0,
    }
```

```python
# Compute autocorrelation for high-liquidity ticker
bounce_result = compute_tick_autocorrelation(all_trades, high_sym, max_lags=10)

if bounce_result and bounce_result["autocorrs"]:
    lags = list(range(1, len(bounce_result["autocorrs"]) + 1))
    autocorrs = bounce_result["autocorrs"]

    fig, ax = plt.subplots(figsize=(10, 5))

    colors = ["red" if ac < 0 else "blue" for ac in autocorrs]
    ax.bar(lags, autocorrs, color=colors, alpha=0.7)
    ax.axhline(0, color="black", linewidth=0.5)
    ax.axhline(-0.1, color="gray", linestyle="--", alpha=0.5)
    ax.axhline(0.1, color="gray", linestyle="--", alpha=0.5)

    ax.set_xlabel("Lag (seconds)")
    ax.set_ylabel("Autocorrelation")
    ax.set_title(f"{high_sym}: autocorrelation of trade-price returns by lag")
    ax.set_xticks(lags)

    # Add annotation
    ax.annotate(
        f"Lag-1: {autocorrs[0]:.3f}",
        xy=(1, autocorrs[0]),
        xytext=(3, autocorrs[0] - 0.1),
        arrowprops=dict(arrowstyle="->", color="red"),
        fontsize=12,
        color="red",
    )

    show_with_alt(
        fig,
        f"A bar chart of the autocorrelation of {high_sym}'s trade-price returns against lag, with a horizontal line at zero and an arrow annotating the value at lag one. The lag-one bar is the one the surrounding text is about.",
    )

    print(f"Trade-price return autocorrelation for {high_sym}:")
    print(f"  Lag 1: {autocorrs[0]:.4f}")
    print(
        "  A negative value at lag 1 is what the bounce between bid and ask produces; a "
        "return series built on mid prices does not carry it."
    )
```

## 5. The Liquidity Spectrum: From Blue Chips to Small Caps

One of the most important microstructure insights: **liquidity varies enormously**
across stocks. A 1000-share order has near-zero impact on AAPL but can move
an illiquid stock by 50+ basis points.

This comparison foreshadows the price impact discussion in Chapter 19.

```python
def compare_liquidity_metrics(trades_df: pl.DataFrame, tickers: list[str]) -> pl.DataFrame:
    """
    Compare key liquidity metrics across tickers.

    Args:
        trades_df: Canonical trades DataFrame from notebook 05
        tickers: List of stock symbols to compare

    Returns:
        DataFrame with liquidity metrics per ticker
    """
    results = []

    for ticker in tickers:
        bars = intraday_resample(trades_df, ticker, freq="1m")
        if len(bars) < 10:
            continue

        # Compute metrics
        total_volume = bars["shares"].sum()
        total_value = bars["value"].sum()
        avg_trade_size = (
            total_volume / bars["trade_count"].sum() if bars["trade_count"].sum() > 0 else 0
        )

        # Compute volatility (1-minute return std), winsorized at the 1st/99th
        # percentile so a single mis-printed tick in a thinly traded name does not
        # dominate the estimate — raw ITCH prints occasionally carry bad prices.
        returns_bps = (
            bars.with_columns((pl.col("price").pct_change() * 10000).alias("return_bps"))[
                "return_bps"
            ]
            .drop_nulls()
            .to_numpy()
        )
        if len(returns_bps) >= 5:
            lo, hi = np.percentile(returns_bps, [1, 99])
            volatility = float(np.std(np.clip(returns_bps, lo, hi)))
        else:
            volatility = float("nan")

        # Price range as the 5th-95th percentile spread relative to the median bar
        # price. The raw max-min range is corrupted by the same single bad prints.
        prices = bars["price"].to_numpy()
        price_range = (
            (np.percentile(prices, 95) - np.percentile(prices, 5)) / np.median(prices) * 100
        )

        results.append(
            {
                "ticker": ticker,
                "total_volume": total_volume,
                "total_value": total_value,
                "avg_trade_size": avg_trade_size,
                "volatility_bps": volatility,
                "price_range_pct": price_range,
                "n_trades": bars["trade_count"].sum(),
            }
        )

    return pl.DataFrame(results)
```

The comparison is drawn from names active enough to form one-minute bars. The session's
long tail runs to thousands of tickers with a handful of prints each, and a ticker that
printed twice has no intraday shape to compare: its volatility estimate would be a
statement about two moments rather than about the stock.

Above the `MIN_TRADES` floor, five names are taken at even positions in the ranking by
traded value: the top, the three quartiles, and the bottom. Five spans the range while
staying readable on a bar chart, and taking them by position rather than by name means
the comparison follows the data rather than a list someone wrote down. Where fewer than
five clear the floor, whatever cleared it is compared instead, and where nothing clears
it there is no spectrum to draw: a truncated parse is the case that reaches this, and
widening the selection to every ticker in the session would answer a different question
from the one the section asks.

```python
tradeable = trade_summary.filter(pl.col("trade_count") >= MIN_TRADES)
n_pool = len(tradeable)
if n_pool >= 5:
    # `tradeable` is sorted by traded value, descending; take five even positions in it.
    tier_idx = [0, n_pool // 4, n_pool // 2, 3 * n_pool // 4, n_pool - 1]
    spectrum_tickers = [tradeable["ticker"][i] for i in tier_idx]
elif n_pool > 0:
    spectrum_tickers = tradeable["ticker"].to_list()
else:
    spectrum_tickers = []
    print(
        f"No ticker reached {MIN_TRADES:,} trades in this sample, so there is no "
        f"liquidity spectrum to compare.\n"
    )

liquidity_comparison = (
    compare_liquidity_metrics(all_trades, spectrum_tickers) if spectrum_tickers else pl.DataFrame()
)

kept = liquidity_comparison["ticker"].to_list() if len(liquidity_comparison) else []
dropped = [t for t in spectrum_tickers if t not in kept]
if dropped:
    print(f"Note: dropped {', '.join(dropped)} (too few one-minute bars to compare).\n")

if len(liquidity_comparison) > 0:
    # Sort by volume
    liquidity_comparison = liquidity_comparison.sort("total_volume", descending=True)

    print("=" * 80)
    print("LIQUIDITY SPECTRUM: From Blue Chips to Small Caps")
    print("=" * 80)
    print(
        f"{'Ticker':<8} {'Volume':>12} {'Value ($M)':>12} {'Avg Trade':>10} {'Volatility':>12} {'Price Range':>12}"
    )
    print("-" * 80)

    for row in liquidity_comparison.iter_rows(named=True):
        print(
            f"{row['ticker']:<8} {row['total_volume']:>12,.0f} {row['total_value'] / 1e6:>12.1f} "
            f"{row['avg_trade_size']:>10.0f} {row['volatility_bps']:>11.1f}bp {row['price_range_pct']:>11.2f}%"
        )
```

```python
# Liquidity spectrum visualization
if len(liquidity_comparison) > 0:
    tickers = liquidity_comparison["ticker"].to_list()
    volumes = liquidity_comparison["total_volume"].to_numpy()
    volatilities = liquidity_comparison["volatility_bps"].to_numpy()
    trade_sizes = liquidity_comparison["avg_trade_size"].to_numpy()
    price_ranges = liquidity_comparison["price_range_pct"].to_numpy()

    fig, axes = plt.subplots(2, 2, figsize=(14, 10))

    axes[0, 0].bar(tickers, volumes, color=COLORS["blue"], alpha=0.7)
    axes[0, 0].set_yscale("log")
    axes[0, 0].set_ylabel("Shares traded (log scale)")
    axes[0, 0].set_title("Shares traded over the session")
    axes[0, 0].tick_params(axis="x", rotation=45)

    axes[0, 1].bar(tickers, volatilities, color=COLORS["negative"], alpha=0.7)
    axes[0, 1].set_ylabel("Standard deviation of 1-minute returns (bps)")
    axes[0, 1].set_title("Volatility of one-minute returns")
    axes[0, 1].tick_params(axis="x", rotation=45)

    axes[1, 0].bar(tickers, trade_sizes, color=COLORS["positive"], alpha=0.7)
    axes[1, 0].set_ylabel("Mean trade size (shares)")
    axes[1, 0].set_title("Mean size of a trade")
    axes[1, 0].tick_params(axis="x", rotation=45)

    axes[1, 1].bar(tickers, price_ranges, color=COLORS["amber"], alpha=0.7)
    axes[1, 1].set_ylabel("5th-to-95th percentile spread of prices, over the median (%)")
    axes[1, 1].set_title("How far the price ranged over the session")
    axes[1, 1].tick_params(axis="x", rotation=45)

    fig.suptitle("Four measures of trading, for one ticker from each liquidity tier", fontsize=14)
    show_with_alt(
        fig,
        "Four bar charts in a two-by-two grid, each with one bar per ticker and the same tickers along every horizontal axis. Clockwise from the top left: shares traded over the session on a logarithmic vertical axis, the standard deviation of one-minute returns in basis points, the fifth-to-ninety-fifth percentile spread of prices as a percentage of the median, and the mean size of a trade in shares. Only the first uses a logarithmic scale.",
    )
```

```python
# Liquidity ratio summary
if len(liquidity_comparison) >= 2:
    share_ratio = volumes[0] / volumes[-1] if volumes[-1] > 0 else float("inf")
    values = liquidity_comparison["total_value"].to_numpy()
    value_ratio = values[0] / values[-1] if values[-1] > 0 else float("inf")

    print("Most active against least active, among the tickers compared above:")
    print(f"  Ratio of shares traded:      {share_ratio:,.0f}x")
    print(f"  Ratio of dollars traded:     {value_ratio:,.0f}x")
    print(
        "\nCompare those two ratios against the volatility panel above. Turnover and "
        "volatility are separate axes: a name can be thinly traded and quiet, or thinly "
        "traded and violent, and the panel says which of these are which."
    )
```

## 6. Key Takeaways

### Market Microstructure Insights

1. **Trade-price returns carry a mechanical negative autocorrelation.** Consecutive
   trades alternate between hitting the bid and lifting the ask, so the price series
   zig-zags across the spread whether or not the underlying value moved. A model fitted
   on trade-price returns learns that zig-zag first. Mid-price returns do not have it,
   which is why the rest of the book uses them.
2. **Turnover and volatility are separate axes.** The four-panel comparison puts them
   side by side for the same tickers precisely so that neither can stand in for the
   other; a liquidity tier is not a volatility tier.
3. **Plot volume on a log scale and returns on a linear one.** Shares traded spans
   orders of magnitude across a cross-section and a one-minute return does not, so one
   scale cannot serve both.
4. **`X` and `D` remove size differently.** An `X` reduces an order; a `D` removes what
   is left of it. Reporting cancelled volume from `X` alone counts a small part of what
   leaves the book, and `04_itch_order_lifecycle_analysis` is where the whole picture
   is measured.

### Known limitations

- One venue, one session, and five tickers spanning the activity ranking. These are
  illustrations of regularities established elsewhere, not evidence for them.
- The price-range panel is a percentile spread over the median, not a high-minus-low
  range: it describes where prices sat rather than how far the extremes reached.
- The autocorrelation is computed on one ticker's trade sequence, so it says nothing
  about how the effect varies with spread or tick size.
- Execution costs are not estimated anywhere in this notebook. The price-range panel is
  a range, not an impact estimate; Chapter 19 models impact.

### Bridge to Later Chapters

| Stylized Fact | Chapter 8 Application | Chapter 19 Application |
|---------------|----------------------|------------------------|
| **Intraday U-shape** | Time-of-day features | Execution timing |
| **Bid-ask bounce** | Mid-price return targets | Transaction cost models |
| **Liquidity spectrum** | Liquidity features | Price impact estimation |

### Next Steps

- **`04_itch_order_lifecycle_analysis`**: how often orders are withdrawn, and how fast
- **`02_itch_lob_reconstruction`**: Build the LOB from message events
- **`16_itch_information_bars`**: Convert ticks to ML-ready bars

---

**References**:
- Harris, L. (2003). *Trading and Exchanges: Market Microstructure for Practitioners*.
- Roll, R. (1984). "A Simple Implicit Measure of the Effective Bid-Ask Spread."
- Cont, R., Kukanov, A., & Stoikov, S. (2014). "The Price Impact of Order Book Events."

---

## Reference

Bouchaud, J.-P., Bonart, J., Donier, J., & Gould, M. (2018).
*Trades, Quotes and Prices: Financial Markets Under the Microscope*.
Cambridge University Press.
[https://doi.org/10.1017/9781009028943](https://doi.org/10.1017/9781009028943)
![notebook output](figures/p1_1.png)
![notebook output](figures/p1_2.png)
![notebook output](figures/p1_3.png)
![notebook output](figures/p1_4.png)