Tape topology.
Live at the open.
First of its kind.

raw, RMT-cleaned and residual correlation, clusteredminimum spanning tree of the correlation distanceKritzman et al.: variance absorbed by the top eigenvectorseigenvector centrality of the cleaned correlation networkprojection of today's returns on the eigenvectorsstandard deviation of the names' returns, day by daypermutation entropy at several orders, spectral entropyrecurrence quantification of the embedded pathlargest Lyapunov exponent (Rosenstein)structure functions and the Legendre transformauto mutual information against linear autocorrelationjoint density of consecutive returnsGrassberger–ProcacciaLZ76 complexity of the up/down sequenceHill tail index on each side of the recordpeaks over threshold, generalized Pareto, Hill estimatorhistorical VaR and expected shortfall by horizonintraday maximum drawdown and run-up over the recordquantiles of the maximum adverse move by holding periodquantile fan of cumulative range by time of daysquare-root impact lawAlmgren–Chriss efficient frontiertraded volume by time of day, session by sessionRoll effective spread, Amihud illiquidity, Kyle's lambdavolume curve and participation schedulesquare-root impact by time of dayGranger causality on five-second returnscross-correlation of one-second returnsKalman-filtered regression of returnsEngle–Granger: regression, Dickey–Fuller on the residualempirical copula of one-minute returnsrolling correlation and beta at several windowsCUSUM on the minute-by-minute imbalance of sized prints; bumps in the gap distribution of same-size trainsthe sized prints of each detected program, drawn on the price pathrule-based classes of prints, by minutesame-side prints clearing three or more prices inside sixty milliseconds; single prints of forty lots or moreprices refilled from icebergs on the live book; absorbed volume against displayed size in the order-book archivelinear quantile regression on realized variance and volume, walk-forward on the archivespread and depth from the quote feed; impact from the one-second tapeVWAP, TWAP, POV and Almgren–Chriss schedules from here to the closelocal linear trend, Kalman filter on daily closesGaussian hidden Markov model on daily returnstrailing returns in units of their own history, variance ratiosvolume at price over many sessions, H0 persistencedirectional-change legs on daily closesempirical k-day returns, scaled to current volatilityunderwater curve and drawdown episodesshare of index names above their moving averagesrelative strength against its own momentummean return by weekday and part of the month, with t-statisticsnearest past windows by the shape of the path

raw, RMT-cleaned and residual correlation, clusteredminimum spanning tree of the correlation distanceKritzman et al.: variance absorbed by the top eigenvectorseigenvector centrality of the cleaned correlation networkprojection of today's returns on the eigenvectorsstandard deviation of the names' returns, day by daypermutation entropy at several orders, spectral entropyrecurrence quantification of the embedded pathlargest Lyapunov exponent (Rosenstein)structure functions and the Legendre transformauto mutual information against linear autocorrelationjoint density of consecutive returnsGrassberger–ProcacciaLZ76 complexity of the up/down sequenceHill tail index on each side of the recordpeaks over threshold, generalized Pareto, Hill estimatorhistorical VaR and expected shortfall by horizonintraday maximum drawdown and run-up over the recordquantiles of the maximum adverse move by holding periodquantile fan of cumulative range by time of daysquare-root impact lawAlmgren–Chriss efficient frontiertraded volume by time of day, session by sessionRoll effective spread, Amihud illiquidity, Kyle's lambdavolume curve and participation schedulesquare-root impact by time of dayGranger causality on five-second returnscross-correlation of one-second returnsKalman-filtered regression of returnsEngle–Granger: regression, Dickey–Fuller on the residualempirical copula of one-minute returnsrolling correlation and beta at several windowsCUSUM on the minute-by-minute imbalance of sized prints; bumps in the gap distribution of same-size trainsthe sized prints of each detected program, drawn on the price pathrule-based classes of prints, by minutesame-side prints clearing three or more prices inside sixty milliseconds; single prints of forty lots or moreprices refilled from icebergs on the live book; absorbed volume against displayed size in the order-book archivelinear quantile regression on realized variance and volume, walk-forward on the archivespread and depth from the quote feed; impact from the one-second tapeVWAP, TWAP, POV and Almgren–Chriss schedules from here to the closelocal linear trend, Kalman filter on daily closesGaussian hidden Markov model on daily returnstrailing returns in units of their own history, variance ratiosvolume at price over many sessions, H0 persistencedirectional-change legs on daily closesempirical k-day returns, scaled to current volatilityunderwater curve and drawdown episodesshare of index names above their moving averagesrelative strength against its own momentummean return by weekday and part of the month, with t-statisticsnearest past windows by the shape of the path