Microstructure/reports/technical_report.md

Technical report

STATUS: SOURCE-CONTROLLED TEMPLATE — RUN-SPECIFIC REPORTS ARE GENERATED BY CODE

This is the canonical report location for Order Flow to Price Impact. It does not contain manually copied empirical or synthetic performance results. make reproduce-sample produces a checksum-verified frozen bundle containing its evidence tier, configuration/input hashes, observed UTC interval and Git state; make report then renders a run-specific document without retraining or recomputing statistics.

Research question

When do order-flow imbalance, liquidity, and observable limit-order-book state predict short-horizon price changes, and how much apparent predictive value survives fees, latency, uncertain fills, adverse selection, and inventory risk?

Planned evidence structure

The study separates three questions that are often conflated:

1. Does an observable feature predict a strictly future outcome on an untouched, time-ordered test period?
2. Is the effect stable across instruments, horizons, and liquidity or volatility regimes, with uncertainty and multiple testing acknowledged?
3. Does any apparent effect survive a separately specified execution model?

The model ladder begins with historical-mean or majority baselines, followed by transparent linear and regularized models and a bounded tree model. Model choice uses training and validation data only. Overlapping label intervals require purging and embargo before final held-out comparison.

Data and temporal integrity

No data period is hard-coded in this source template. A generated report takes its actual minimum and maximum event timestamps from the frozen bundle—not merely from requested configuration dates. Raw observations remain unchanged; validation findings and any downstream exclusions are recorded separately.

At decision event t, features may use only information proven observable at or before t. Labels begin strictly after t. Exchange event time and local receipt time are distinct where both exist.

Predictive model quality

No model metrics are embedded in this template. The generated comparison reports held-out sample size and period, ROC-AUC or regression diagnostics as applicable, log loss, Brier score, expected calibration error, and serialized fixed-block bootstrap intervals. Regime-level outcomes and model diagnostics are persisted as separate descriptive analysis artifacts rather than folded into the comparison table. Missing metrics will display as N/A, never as zero.

Execution and simulated performance

No execution result is embedded here. Generated simulation results state maker and taker fees, decision and order latency, queue/fill proxy, partial fills, adverse selection, inventory limits, liquidation, turnover, and trade-size or capacity sensitivity. Predictive metrics and execution metrics remain separate.

Economic interpretation

There is currently no supported claim about predictability, profitability, statistical significance, or deployability. The synthetic smoke run validates software plumbing only and carries the mandatory SYNTHETIC_SMOKE warning on every output surface.

Limitations

See methodology_limitations.md for the maintained methodology and limitations register. Even a completed public-data analysis will remain venue-specific, sensitive to timestamp and fill assumptions, and distinct from realized live execution.

Reproduction record

Run make reproduce-sample && make verify-run && make report. The generated report records run ID, evidence tier, observed UTC period, configuration SHA-256, input-manifest SHA-256 values, Git commit, dirty state and runtime metadata. The source-controlled template intentionally remains free of copied metrics.