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Liquidity Stress Matrix
NewFreeRoll, Corwin-Schultz, Amihud and Kyle lambda percentiles on five horizons each
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- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- WebGPU + Canvas
- Placement
- Own pane
- Settings
- 3
- Plots
- 62
- Lines of code
- 54
- Source
- presets/analysis/hft/liquidity_stress_matrix.qs
About
Four independent estimates of trading cost and market depth, each on five horizons, as one heatmap of percentiles: Roll's effective spread, the Corwin-Schultz high-low spread, Amihud illiquidity and Kyle's lambda (price impact). Each estimator reads a different footprint of thin liquidity, so a stress event that shows on every block (bright across the matrix) is far more reliable than any single measure. Rows are grouped by estimator, short horizons first. The line is the matrix average; marks show a liquidity squeeze (most cells extreme) and the return to normal conditions.
What it draws
Own pane · counted from the engine's plot table and the script's draw calls
Series
- Line1 visible · 61 helperMatrix average
- Band fills (render.band calls)1
Signal marks
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 54-line script (43 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
pane = hpanewithheight = 0.28(28% of the chart), so the output gets its own pane under the price with its own scale. - 3Compute
The script runs once per bar, oldest to newest. Each bar also runs one loop (1 for). 1
persistvariable keeps state (objects, counters) across bars. Helper function:heat(). - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.
- 6Tune
3 settings in 1 group appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
Hybrid: this script draws on 2 surfaces at once
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
- • 62 plotted series
- • 1 band fill call
- • 2 signal mark types
Chosen by render = webgpu in the header.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 1 dashboard tables (QuaScript layer)
Alerts
1 alert rule declared with alert.rule
At least 12 of 20 liquidity cells are in their top 15%
Settings
3 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Percentile history | Integer | 300 | 50 – 5000 | percentile_history |
| Shortest horizon | Integer | 10 | 3 – 200 | shortest_horizon |
| Horizon multiplier | Integer | 2 | 2 – 4 | horizon_multiplier |
Script
packages/quascript/presets/analysis/hft/liquidity_stress_matrix.qs
Header
analysis "Liquidity Stress Matrix" {
pane = hpane
height = 0.28
render = webgpu
}- Total lines
- 54
- Code lines
- 43
- Comment lines
- 8
- Helper functions
- 1
- Loops
- 1
- Persistent variables
- 1
- Higher-interval feeds
- 0
- Engine plots
- 62
Built with
stat.percent_rankhft.amihudhft.corwin_schultzhft.kyle_lambdahft.roll_spreadmath.floormath.is_namath.maxmath.pow
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