Market & liquidity Lab 09
Microstructure Stress
Do spread, volume shock, Amihud illiquidity, and order-book imbalance point to stressed execution conditions?
Generated using bundled data. These values illustrate the diagnostic and are not current market observations.
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.
The paper trail
Inspect. Reproduce. Extend.
Run this command from the finance-labs repository root to reproduce the bundled example.
PYTHONPATH=labs/microstructure-stress/src python3 -m microstress labs/microstructure-stress/examples/stressed_tape.csv --format markdown
View original captured output
# 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.
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