{
  "id": 2605738,
  "title": "Building a Real-Time Market Microstructure Analyzer for Indian Equities",
  "url": "https://urgent.news/2026/08/22/building-a-real-time-market-microstructure-analyzer-for-indian",
  "topic": "tech",
  "section": "Tech",
  "published": "2026-08-22T15:47:23.000Z",
  "source": {
    "name": "Dev.to",
    "slug": "dev-to",
    "url": "https://dev.to/aariiparekh3012/building-a-real-time-market-microstructure-analyzer-for-indian-equities-30j3"
  },
  "original_language": "en",
  "account": null,
  "summary": "The article introduces the Real-Time Market Microstructure Analyzer, an open-source platform designed to process five-level order-book snapshots and calculate various market microstructure indicators for Indian equities. Market microstructure is a field of study that examines how orders, trades, liquidity, and market participants interact to form prices. The platform accepts order-book data, processes it through a streaming analytics engine, and displays the results through an interactive dashboard. Key features of the platform include bid-ask and depth-weighted spread calculations, order-flow imbalance, session VWAP and deviation bands, cumulative signed volume, Kyle's lambda, Amihud illiquidity estimates, roll spread estimates, rolling anomaly detection, OFI strategy backtesting, TWAP and replay-VWAP execution simulation, and fast API and WebSocket endpoints. The system architecture comprises four main layers: data ingestion, analytics engine, API layer, and frontend dashboard. The platform's analytics engine calculates various market microstructure indicators, including order-flow imbalance, spreads, and VWAP, among others.",
  "key_points": [],
  "editors_take": null,
  "illustration": null,
  "coverage": {
    "outlets": 1,
    "also_reported_by": []
  },
  "ai_generated": true,
  "disclaimer": "Summaries, key points and the editor’s take are written by software from other outlets’ reporting and may contain errors — always check the linked original."
}