PUBLIC RESEARCH
Which information an observer could actually use at a stated decision time. A retrospective reconstruction may contain later information that was unavailable to a contemporaneous decision.
7 results · 1–7
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Market microstructure study
A market-microstructure study of seven selected QNTUSDT perpetual-futures observations dated 28 September 2026. The analysis compares quoted spreads and displayed first-level quantities, with price context and explicit measurement conventions.
KeywordsOrder book, Quoted spread, Market liquidity, Information availability
Preprint
Projection loss, microstructure signals, and queue-aware execution. The public preprint by Yu Xiong.
Yu Xiong · Preprint v2 · Zenodo / SSRN ·
KeywordsOrder book, Queue position, Event order, Reproducible replay, Information availability, Market liquidity
Research companion
Two cancellations with the same depth update can leave an order in different queue positions.
5 min read · Aurora Lab
KeywordsOrder book, Queue position, Event order, Information availability
Engineering note
Sequence scope, clock domains and the data contract behind a reproducible reconstruction.
5 min read · Aurora Lab
KeywordsEvent order, Reproducible replay, Information availability, Order book
Methods guide
A practical record of inputs, state transitions, invariants and information availability.
6 min read · Aurora Lab
KeywordsReproducible replay, Event order, Information availability, Order book
Interactive experiment
Replay three synthetic messages in source order or receive order. Compare the resulting state, then inspect the standalone Python example.
Browser experiment · Python source
KeywordsEvent order, Reproducible replay, Information availability, Order book
Interactive experiment
Cancel equal quantities at different points in a queue. Inspect what total depth preserves and what it leaves unresolved.
Browser experiment · Synthetic data
KeywordsQueue position, Order book, Event order, Information availability
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READING & REUSE
Manuscript pages link to the original text and citation record. Fund and market studies identify their evidence, observation dates and analytical scope; notes explain methods, while browser experiments use synthetic data.
For a replication question or correction, include the title, version and the specific passage or calculation.