MICROSTRUCTURE TELEMETRY|● L2 STREAM LOCKED
L2 Order Book Imbalance (OBI) & Smart Router Core
● ADAPTIVE VOLATILITY REGIME CLASSIFIERCURRENT: CHOPPING
Multi-Timeframe Regime Detector
CHOPPINGDynamically shifts RSI entry bounds (30/70 vs 20/80) and grid rung step margins based on real-time volatility.
Adaptive RSI Buy
30
Adaptive RSI Sell
70
Trailing Activation
1.20%
Trailing Callback
0.40%
● L2 DEPTH IMBALANCE GATE
GATE: OPEN
Guards against toxic adverse selection and cascading liquidation wicks. If top-10 depth OBI < -0.60 or spread > 25.0 bps, buy limit orders are strictly blocked.
Top 10 Depth Imbalance (OBI)
-0.15
Floor: >= -0.60
Bid-Ask Spread (bps)
8.5 bps
Ceiling: <= 25.0 bps
Ask Depth (Sell Wall)Bid Depth (Buy Wall)
Top Bids (Maker)
$154.20145.2 SOL
$154.10280.5 SOL
$154.00512 SOL
Top Asks (Taker)
$154.35180 SOL
$154.45320.1 SOL
$154.55410.8 SOL
● SMART ORDER ROUTER (GTX VS IOC)ZERO TAKER SLIPPAGE
Routing policy: All scheduled grid rungs are strictly submitted as MAKER_POST_ONLY (GTX) to earn maker rebates. Orders are never converted to taker fills unless executing an authorized emergency stop-loss.
MAKER_POST_ONLY (GTX)19:54:12.145
Passive spread extraction • OBI -0.15 >= -0.60 floor
CONFIRMED_MAKEREffective Fee: 0.02%
MAKER_POST_ONLY (GTX)19:53:48.302
Grid rung replacement #2
CONFIRMED_MAKEREffective Fee: 0.02%
IOC_TAKER (IOC)19:52:10.890
Trailing stop-loss trigger executed at market
FILLED_IMMEDIATEEffective Fee: 0.05%