Liquidity imbalance

Measures whether order book fragility and exchange-specific liquidity pressure support fast cross-sectional mean reversion.

Paper status

Research

Out-of-sample Sharpe

In review

Max drawdown

In review

API route preview

/v1/features/crypto/liquidity-imbalance

Function docs Example notebooks

How it is built

Only evaluated where depth snapshots and liquidation proxies are stable enough for point-in-time replay.
Designed as a complementary input to premium reversion rather than a replacement.

Where it can fail

Data quality is the bottleneck; noisy venues can swamp the signal.
Needs strict point-in-time replay discipline to avoid contamination.

How to call it in code

universe = al.universes.crypto_perps_top_20()
signal = al.features.liquidity_imbalance(universe)

Read the library docs

Planned API route

GET /v1/features/crypto/liquidity-imbalance
  ?as_of=2026-04-30
  &universe=crypto-perps-top20
  &format=panel

Related signals

Premium reversionCorr 0.34

Example notebooks

Market-neutral premium basket

Combines signals into a market-neutral strategy, verifies the backtest, then starts paper tracking.

Python notebook / Construction workflow

Browse all examples

Next places to look

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