Market Microstructure

POSEIDON.

A quantitative microstructure engine for 1–60 second horizons, viable on standard infrastructure without microsecond HFT hardware or FPGAs.

Flagship — POSEIDON

Intraday Market Microstructure & Execution Intelligence

Order-book reconstruction at MBO / Level 3 depth, order-flow imbalance, microprice and liquidity analytics — with snapshot reconciliation, corrupt-book protection, and interpretable ~250 ms relative-latency models instead of opaque deep architectures.

What POSEIDON provides

Order-book intelligence and execution features for intraday horizons.

MBO / Level 3 Reconstruction OrderID-identified order book reconstruction.

Order Flow Imbalance OFI / MLOFI analytics for order-flow pressure.

Microprice & Liquidity Microprice and liquidity-imbalance estimation.

Snapshot Reconciliation Snapshot conciliation and corrupt-book protection.

Interpretable Low-Latency Models Explicit rejection of opaque DeepLOB architectures in favor of ~250 ms interpretable models.