microstructure-alpha

Identify intraday alpha signals from L1 NBBO data using a microstructure-first framework.

Updated Mar 2, 2026

Search Tags:#signal #microstructure #regime #alpha #intraday #l1 #nbbo

Ready to run

npx skills add https://github.com/Leiisawesome/feelies --skill microstructure-alpha

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: microstructure-alpha
Source: https://github.com/Leiisawesome/feelies/tree/main/.cursor/skills/microstructure-alpha
Command: npx skills add https://github.com/Leiisawesome/feelies --skill microstructure-alpha

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Institutional-grade quantitative research and system architecture for extracting intraday alpha from L1 NBBO data (Massive, formerly Polygon.io). Use when designing microstructure signals, building intraday trading systems, analyzing quote/trade dynamics, constructing execution-aware alpha, or reasoning about market microstructure, order flow, spread dynamics, or short-horizon return prediction.

Core Features & Use Cases

Institutional-grade research workflow for L1 NBBO data to extract intraday alpha signals
Frameworks for hypothesis-driven feature engineering, regime-aware modeling, and robust validation
Structured entry/exit design with explicit signal, risk, and execution pathways for intraday strategies

Quick Start

Provide a minimal L1 NBBO data stream to generate a preliminary intraday alpha signal and initiate the research protocol.

Frequently Asked Questions about microstructure-alpha

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I extract intraday alpha signals from L1 NBBO data?▼

Extract intraday alpha signals from L1 NBBO data by applying a microstructure-first research framework to analyze liquidity regimes, spread dynamics, and order flow, then validating predictions through rigorous statistical tests and out-of-sample evaluation.

What is a microstructure-first research framework for intraday trading?▼

A microstructure-first research framework identifies intraday alpha by systematically analyzing quote and trade dynamics, applying incremental feature engineering and regime-aware modeling to satisfy structured hypothesis testing and out-of-sample validation protocols.

How do I design execution-aware intraday trading signals using NBBO quotes?▼

Design execution-aware intraday trading signals using NBBO quotes by structuring explicit entry and exit pathways that map microstructure features to risk constraints, enabling regime-aware evaluation of short-horizon return predictions.

How do I apply regime-aware modeling to L1 market data?▼

Apply regime-aware modeling to L1 market data by segmenting the intraday stream into distinct states of liquidity and spread dynamics, then testing alpha signal robustness across each identified regime using out-of-sample validation.

Can I validate short-horizon return predictions using only L1 NBBO data?▼

Yes, validate short-horizon return predictions using only L1 NBBO data by applying the research protocol's rigorous statistical tests and out-of-sample evaluation directly to the massive quote and trade dynamics stream.

What are the limitations of using L1 data for intraday alpha extraction?▼

L1 data limits intraday alpha extraction to top-of-book quote and trade dynamics without deep order book visibility, requiring regime-aware modeling and robust statistical tests to mitigate missing depth information during hypothesis testing.