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Stealth-Market-Microstructure-Group / itch-fill-flip

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Empirical detection of fill-flip sequences (hot potato effect) at the intra-tick level using NASDAQ TotalView-ITCH 5.0 order book data. Go parser + Python detection pipeline. SPY Jan 2020: 134 candidate pairs at 1ms window, median reaction 106µs, minimum 0.6µs.

python go hft nasdaq algorithmic-trading order-book esma market-microstructure hot-potato nasdaq-itch fintect us-sec fill-flip
  • Updated Mar 6, 2026
  • Jupyter Notebook

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