IPD
IPD Explorer
impact-price mark vs production mark
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recon vs prod mark MAE
–
Impact Notional
$ market order walked into book
1k
5k
10k
25k
100k
k filter
weight on previous mark
EMA window
τ seconds
30
150
300
IPD-EMA mark formula
Oracle + EMA(IPD@oracle)
Mark + EMA(IPD@mark)
IPD mark without EMA
k-filter recursion
k·lastMark +
(1−k)·(Oracle+IPD@oracle)
k·lastMark +
(1−k)·(Mark+IPD@mark)
Mid premium |mid−S|
–
avg distance, today's input
IPD premium |IPD|
–
vs mid premium
IPD = 0
–
oracle inside impact band
Max dev · current mark
–
worst drift from oracle
Max dev · IPD-EMA
–
worst drift from oracle
Max dev · k-filter
–
worst drift from oracle
Thin book @ N
–
depth < notional (bid/ask)
Series
% vs Oracle
$ Price
1M
5M
15M
30M
45M
1H
4H
12H
ALL
IPD
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