Market resilience Strategy.

Basically this heuristic measures how quickly the market readjusts itself to the mean following an event that causes it to deviate from its expected (or previous long term) trend. There are many possible methods using which this could be discovered, however Hurst exponent is one mathematical tool which helps identify the level of autocorrelation of a time series. It identifies whether a time series is a Random walk/GBM, trending/showing momentum or mean reverting. So choosing the right lags may clearly identify whether and when a time series mean reverts after an event.

Tracking the Market Depth

Depth of the market is the size (SUM total) of all pending limit orders posted at the best price. So DOM indicates the size of the order (wheher Market or Match based LO) that can be served/transacted immediately at the best price.

Tracking of the Quoted price (aka Trade price) and its relative change.

The electronic ticker tape shows the quoted price for a stock, along with the stock symbol, the number of shares traded, the price traded at, an indication of an increase or decrease from the last quoted price, and the amount of price change. whether the quoted price represents an increase or decrease from the last quoted price, and the amount of the change in price.

Tracking of Meta Orders ( if possible)

Meta order is a collection of trades that belong to a single buy/sell trading decision such that a larger order is chunked into an ensemble of smaller trades