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.