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TickDistill — Order-Flow Microstructure, Explained

TickDistill publishes clean, computed order-flow microstructure signals for crypto markets — delivered as a REST API and as an MCP server for AI agents. This repository is our open, educational knowledge base: plain-English explainers of the concepts, the public math, and the engineering behind microstructure signals.

Educational content, not financial advice. We explain the measurement, and we sell the measurement — not alpha, not trading advice, not guaranteed returns.

Start here

→ What Is Order-Flow Microstructure? — the pillar: what order flow is, why it predicts short-horizon moves, and how the signal family fits together.

The fundamentals (free signals you can use today)

What Is Cumulative Volume Delta (CVD)? — running sum of signed aggressor volume.
What Is Trade Imbalance? — the signed buy-vs-sell ratio, and why it should be read in sigma, not percent.
Aggregated vs Separated Big Orders — two ways to read large prints, and what each one can and cannot prove.

The method (how we keep the numbers honest)

Sigma-Normalization — why signals are measured in standard deviations, not raw numbers.
Point-in-Time Correctness & No Look-Ahead — the single most important property of a trustworthy backtest.
Single-Pass Streaming ETL & Discard — how we process years of tick data cheaply, and why we keep only the derived outputs.
Parametric Signals as Functions — a signal as f(primitive, parameters), not a fixed output.
Cross-Market Signal Abstraction (MarketProfile) — one signal definition, many markets, via a per-market profile.
Data-Quality Gates — how we validate data before it becomes a signal.
Signal Knobs & Presets — tuning sensitivity without overfitting yourself.
Market-Regime Clustering — volatility clustering and regime persistence, with sources.

The philosophy (why the product is shaped this way)

Why Sell the Measurement, Not the Alpha — selling shovels, not gold.
Why Derived Signals, Not Raw Market Data — the derived-only design.
MCP-First, Agent-Native Distribution — being where the AI agents are.

More explainers — VPIN, order-flow toxicity, absorption, leverage squeezes, and the order-book signals — are released as the corresponding signals ship. © TickDistill. Educational content; not financial advice; backtests are illustrative and not a promise of future results.

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