# Microstructure Stress Report

Source: `labs/microstructure-stress/examples/stressed_tape.csv`
Latest timestamp: **2026-01-02T09:34:00**

## Stress snapshot

- Stress score: **47.30/100** (`watch`)
- Latest close: **98.9500**
- Quoted spread: **30.32 bps**
- Volume shock: **3.22x** prior average
- Order-book imbalance: **0.55** (-1 ask-heavy, +1 bid-heavy)
- Amihud illiquidity: **1.495e-08**

## Desk actions

- Route orders with tighter participation caps; quoted spread is wide versus normal liquid conditions.
- Check news and auction calendars; latest volume is materially above the prior tape average.
- Monitor bid-side depth concentration; book pressure is meaningfully one-sided.

## Methodology

The score blends four bounded microstructure signals: quoted spread in basis points, latest-volume shock, Amihud |return|/dollar-volume illiquidity, and absolute top-of-book depth imbalance. The blend is deliberately explainable and saturating, making it useful for risk triage rather than black-box prediction.