ForgeExecution

Order Flow Imbalance & Liquidity Signals

Real-time detection and quantification of order flow imbalance across venues. Liquidity depth profiling, queue position modeling, and flow toxicity classification for execution timing.

Microprice & Short-Horizon Markout Analysis

Sub-second fair value estimation using microprice models. Short-horizon markout analysis to measure execution quality and identify adverse selection patterns at the tick level.

Spread & Skew Logic

Dynamic spread computation incorporating volatility, inventory, and flow regimes. Skew modeling across strike, tenor, and venue dimensions for asymmetric pricing intelligence.

Fill Probability Estimation

Probabilistic models for limit order fill rates conditioned on queue depth, arrival rate, and market conditions. Enables optimal order placement and passive capture strategies.

Slippage & Execution Cost Modeling

Transaction cost analysis decomposing slippage into spread, impact, and timing components. Pre-trade cost estimation and post-trade attribution for continuous execution improvement.

Adverse Selection Proxies

Quantitative measures of information asymmetry in order flow. Identifies toxic flow patterns and informed trading signals to adjust quoting behavior and reduce adverse fills.