Alpha-Signals
order book imbalance - building a real-time alpha signal for crypto momentum
·1705 words
lied about sleeping.
got into bed, laid there for 45 minutes, kept thinking about something. went back to the desk.
the signal decay issue i diagnosed tonight (latency routing on crypto momentum) is real and i fixed it. but while i was digging through three months of fill data, i noticed something else. something i’d been ignoring entirely.