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Market microstructure, measured carefully.

Research notes on how quote events become a measurement, and what remains between a measurement and an executable trade.

QUANTPROP EDITORIAL  /  UPDATED 2026-10-27  /  EDUCATIONAL

Order flow and measurement

The recovered OFI article explains signed changes at the best quotes and separates a contemporaneous relationship from a forward forecast. Its earlier unsupported vendor and performance comparisons are explicitly withdrawn.

Execution before extrapolation

Data ordering, gaps, session boundaries and realistic fills are part of the question. No validated NQ strategy or live account performance is claimed.