HFT-ish Order Book Imbalance Algorithm Using Streaming

This example only works if you have a funded brokerage account or another means of accessing Polygon data.

This algorithm is an active, daytrading strategy that captures small moves frequently using order book imbalance as an indicator. The idea is not secret or new - it’s a strategy that has been studied in academia and the industry.

This example also gives you a good idea of how to use streaming data in an algorithm’s code.

Code on GitHub