I am trying to improve the intra-day executions. For example, I wanna sell a stock but its mid price keeps monotone decreasing/increasing/unchanging at most of time (the small graph). occasionally, it has abrupt price fluctuation (the big graph). imbalance=ask depth - bid depth of top 5 price levels. Do you have any suggestion to model this to get good executions assuming time frame is 10 minutes? Are MACD hist and EMA applicable here? How to combine imbalance and price indicator?
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