Microstructure#22tier 1live in production
ofi microstructure
cadence: Dailydata: medium
Mechanism
True OFI requires L1 NBBO quote ticks. Polygon Stocks Advanced ($199/mo) or Databento pay-per-query are the path. Skeleton emits a failed candidate per ticker so the data gap is captured in the experiment
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
nbbo_ticksWorker data table — see services/worker schema.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Explore ofi microstructure on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.