C# market replay and Python TCA with real LOBSTER microstructure and an L5 impact-realism audit
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Jun 20, 2026 - Python
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lobster-data
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Implement the Cont-Kukanov-Stoikov order-flow-imbalance price-impact model on real NASDAQ order book data in Python. Explain the price changes from order flow alone.
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Updated
Aug 7, 2026 - Jupyter Notebook
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