The layer beneath the chart
A candlestick chart is the output of a market — the price that resulted. Market microstructure is the machinery that produced it: the limit orders resting in the book, the market orders hitting them, who is aggressive versus passive, and how much price moves per unit of flow. Read the machinery and you see pressure forming before it shows up as a candle.
The four layers vyx reads
Every vyx signal is built from one of these microstructure layers:
- Resting liquidity — the order book. How lopsided it is (order-book imbalance), and the fair value it implies (microprice).
- The flow of orders — additions and cancellations at the top of book (order-flow imbalance / OFI).
- Executed aggression — the trades that actually print: cumulative volume delta (CVD), sweeps, and whale prints.
- Price impact — how far price moves per unit of flow (Kyle’s lambda), the read on liquidity and fragility.
absImb >= 55 && cvdHigh >= 100000 vyx is a microstructure scanner: it computes these layers — imb, ofi, cvd, microprice, price-impact lambda, liquidity — live for 300+ Hyperliquid markets and ranks the venue by any combination you compose. The chart is the last thing you look at, not the first.
Further reading
- Larry Harris — Trading and Exchanges: Market Microstructure for Practitioners
- Maureen O’Hara — Market Microstructure Theory
- Order-Book Imbalance — the resting-liquidity layer
- CVD — the executed-aggression layer
- Kyle’s Lambda — the price-impact layer
Related
FAQ
What is market microstructure?
The study of how trades actually happen — the resting order book, the flow of orders into it, who trades aggressively versus passively, and the price impact that results — rather than just the price chart it produces.
How is market microstructure different from technical analysis?
Technical analysis reads the output (price and volume on a chart). Microstructure reads the cause (the order book, order flow, and execution underneath). The two are complementary, but microstructure is earlier — pressure shows in the flow before it shows in the candle.
Why does market microstructure matter for trading?
Because it shows where liquidity is, which way order flow is leaning, and how fragile price is — context a price chart alone can’t give you. vyx turns each microstructure layer into a scannable signal across 300+ markets.
See it on the live map
Scan order-book pressure across 300+ Hyperliquid markets in real time.
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