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Depth of Market
Depth of market data reveals what price charts hide: where liquidity sits, how it shifts, and what that means for execution. I write about processing Level 2 feeds, reconstructing order books, and building analytical tools on top of DOM data. These articles cover both the engineering challenges and the trading insights that come from looking beyond last-trade prices.
2026-05
Quant
Finding Signal in Market Noise: I Stopped Reading the Tape and Started Measuring It
You can’t quantify what you haven’t observed. I paper traded order flow as a deliberate research step, building the intuition needed to formalize concepts like absorption, iceberg …