Xtrade Thinness
How expensive is it to move this market right now? A realtime estimate of Kyle's lambda, graded THIN / NORMAL / THICK against its own recent window.
Data: Depth data (aggregated book) — no trades feed, no MBO required.
Real signals, straight from the chart
Click any screenshot to zoom
What it does
Kyle's lambda — how much price moves per unit of order flow — is the classic measure of market depth (Kyle 1985). When the book is thin, small orders move price a long way; when it's thick, the market absorbs flow. Xtrade Thinness estimates lambda in realtime and tells you which world you're trading in.
One unmissable state — THIN / NORMAL / THICK — computed by rolling regression of price changes on order-flow imbalance, then graded against the instrument's own recent percentile window (roughly the last 80 minutes of market time). Hysteresis on the state boundary means the regime changes when it means it, never flickering on noise.
Backed by: Kyle (1985), Econometrica 53(6):1315; Cont, Kukanov & Stoikov (2014), J. Financial Econometrics 12(1):47
- ✓Realtime Kyle λ estimated from order-flow imbalance — the academic gold standard for market depth
- ✓THIN = price slips through air pockets: size down, widen stops, or wait
- ✓THICK = the book absorbs flow; breakouts need more fuel to get anywhere
- ✓Self-calibrating: regime thresholds are percentiles of the instrument's own lambda distribution
- ✓Environment indicator, not a signal system — the same setup is a different trade in THIN vs THICK
FAQ
What data does it need?
The aggregated book is enough — no trades feed, no MBO required.
How do I use it?
Treat it as the weather report: THIN conditions change position sizing and stop placement for whatever setup you already trade.
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Trading futures and other financial instruments involves substantial risk of loss. Xtrade Thinness is an informational and educational tool, not investment advice. Past performance is not indicative of future results. All sales are final and non-refundable.