BTC Orderbook Microstructure Research

What it is

A set of Jupyter notebooks that studies a Binance BTC/USDT limit order book through order-book imbalance, cumulative volume delta, and quoted spread. A Parquet loader flags coverage gaps, and the notebooks measure how fast imbalance fades, whether aggressive flow leads or lags the mid price, and how tight the spread stays through the session. Microstructure researchers who want a worked example on a single crypto pair can rerun the notebooks or read the saved figures and a shorter sample extract. The series is one market window with long missing stretches, so gap-aware cuts are required before rolling statistics, and it is not a live feed or a trading library.