HFT detection fsp: trade ratez, $vlm, liquidity gaps

[goodboy]

as of #268 we now have real double auction queuing metrics that can be used to sniff bots (painters, stuffers, sigma swingerz, etc.) but we need some kind of nice simple measure we can use to signal HFT action in a market (so that we can dos shitadel's servers when it starts, kidddddding, even though that's one from their playbook).

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measures so far

• dolla vlm: which shows money flow in the market over time
• (averaged) clearing rates: which shows trade frequency over time
• 1s OHLC for price

Some measures i've thought of off hand include:

• ($vlm - arrival rate) / normalization factor where the denom is likely some robust stat on windowed history or could simply be the OH diff in price for the sample step
• consider L2 departure rate in the calc (i.e. cancelled order rates) and thus possibly make usre of the balance equations and/or the erlang eq / little's law to better model an expectation on longer run $vlm profiles versus clearing rates

further research that worth perusing

• https://en.wikipedia.org/wiki/Renewal_theory
• https://en.wikipedia.org/wiki/Throughput which is likely the best analog of a clearing rate in a double auction

[wygud]

I will help with this one. On top of what's mentioned above I would like to include some research on the mechanics of squeezes and the corresponding "price action" before, during and after a squeeze (gamma, short, liquidity etc.).