OrderImbalance
Order Imbalance Strategy in High Frequency Trading
The thesis explores various indicators that can be used to predict short term price movements in the Futures Market - data utilized for the same was from China Futures Index.
I have replicated the results for Indian Index Futures [ Nifty50]. It has been interesting to note that the relationships hold here as well, although with varied strengths as expected. The snapshot data has been built from tick level data, indicators were constructed then.
This is only done over tick data for 1 full trading day[22 Nov 2017]. Further investigation utilizing multiple days' worth of data and PnL attribution of the strategy is warranted - the initial investigation shows promise.