Axioma Analytics · Tick Microstructure

Environment Source Symbol Bar timeframe Rolling window Lookback (days) Max ticks

Price & spread

Order-flow imbalance

Book depth & imbalance

Volume at price

Return distribution

Rolling volatility

Drawdown

Bid-ask spread (bps)

Tick inter-arrival

Activity by hour (UTC)

Return autocorrelation

Large trades & market impact

Latest ticks

Data source