Reference Intermediate

Configuration, status, and metric reference

Interpret common Core and Pro settings, lifecycle states, units, precision, and displayed market-microstructure metrics.

Edition / plan core pro

VisualHFT Core and Pro reference map linking configuration, runtime state, market-data units, and study output — Read settings and outputs together: provider, symbol, depth, aggregation, lifecycle state, units, and observation window define the result.

This reference covers terms shared by Core and Pro. A plugin can add its own settings and outputs, so its visible settings screen remains authoritative for that installed plugin version.

Common settings

Setting	Meaning	Important boundary
Provider	Named market-data source published by a connector or Replay Engine	Match this value in dependent studies
Symbol	Instrument identifier normalized for downstream use	Connector input syntax may be venue-specific
Depth levels	Number of visible order-book levels requested or retained	Availability depends on the venue feed
Aggregation	Grouping applied to prices or updates where supported	Never compare aggregated and unaggregated books as equivalent
Observation window	Samples, time, or volume used by a study	Output can remain `N/A` until the window fills

Plugin lifecycle states

State	Operator meaning
`LOADING`	The host is loading the plugin assembly and metadata
`LOADED`	Discovery completed, but the plugin has not started
`STARTING`	Startup or connection work is in progress
`STARTED`	The plugin start path completed; verify current data separately
`STOPPING`	Shutdown or disconnection is in progress
`STOPPED`	The plugin is not running
`STOPPED_FAILED`	A failure requires attention; inspect the notification and logs before retrying
`MALFUNCTIONING`	The plugin is running with a reported failure or degraded condition

STARTED does not prove that a venue feed is fresh. Use provider state and timestamps as independent checks.

Units, precision, and displayed values

Prices and sizes use connector or instrument precision. Do not hardcode a universal tick or size multiplier.
A ratio in [-1, 1] is not a percentage unless the surface explicitly formats it as one.
Basis points use 10,000 × decimal change; inspect whether a metric uses price, mid-price, or spread as its denominator.
Durations require a named clock basis. Exchange event, connector receipt, application processing, and render time are different measurements.
Counts depend on feed granularity. A Level 2 book update is not equivalent to one Level 3 order event.

Core metric boundaries

LOB Imbalance sums visible bid and ask size through the configured depth and calculates (bid size - ask size) / (bid size + ask size). Positive means more displayed bid size in that window; it does not predict the next trade.

VPIN in VisualHFT groups classified trade volume into buckets and averages normalized absolute buy/sell imbalance across completed buckets. Its trade classification and buckets are implementation choices; it is not a verbatim implementation of every academic VPIN procedure.

Order-to-Trade Ratio compares observed book activity with public trades. It is not the member-level regulatory calculation used by a trading venue.

Market Resilience combines detected spread/depth shocks and their recovery under the plugin’s configured thresholds. Compare values only under the same configuration and feed conditions.

Use the changelog to reconcile these definitions with the deployed version. The public code guide contains implementation detail for the open-source study versions.