treadquant

Metrics Definitions: OI/BBO: Open Interest divided by size at best bid/ask, where higher values indicate more risk-taking capital relative to available liquidity and less market maker competition. Stability: Numerical rating from 0-15 measuring how long price stayed within a 10bp range over the last 15 minutes, where higher scores represent greater price stability. Status: Classification system that groups stability scores into volatile (0-1), fair (2-4), good (5-9), and great (10-15) categories for quick assessment of market conditions. Score: Composite metric combining 50% price stability, 25% OI/BBO percentile, and 25% volume percentile, where higher scores indicate more favorable conditions with stable pricing and balanced market structure. Trade Size/BBO (Coming Soon): Average trade size over a sampling period divided by size at best bid/ask. Higher values indicate larger transactions relative to top-of-book liquidity and suggest trades are accessing deeper levels of the order book.