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QuaScript

Price Impact Field

NewFree

Kyle lambda and Amihud illiquidity ranks: thin-liquidity warnings

WebGPU StudioOwn pane WebGPU CanvasHybridDashboardSignalsAlerts
quascriptgpuwebgpuliquidityimpactheatmap

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Language
QuaScript
Engine
Native C++, incremental on live ticks
Rendering
WebGPU + Canvas
Placement
Own pane
Settings
4
Plots
27
Lines of code
52
Source
presets/analysis/gpu/price_impact_field.qs
Price Impact Fieldengine result
Loading the engine result…
quatick-charts · QuaScript engine on synthetic 1-minute bars · drag to pan · scroll to zoom · Run executes the script on the engine (⌘/Ctrl+Enter while editing)

About

How much price moves per unit of traded volume, on 12 windows of two estimators: Kyle's lambda (bottom half, the regression slope of price change on signed volume) and Amihud illiquidity (top half, absolute return per unit of traded value). Every row is ranked against its own history, so bright means "thinner than usual for this market", whatever its size. Reading: a field lighting up = liquidity is draining, moves need less volume, breakouts and stop runs travel further; a dark field = deep liquidity, moves get absorbed. The glowing line is the average rank. Signals: impact spikes and liquidity returning. Method: Kyle (1985) lambda, Amihud (2002) illiquidity, percentile ranks.

27
Plotted series
2
Signal marks
1
Drawings
1
Alert rules
4
Settings
43
Lines of code

What it draws

Own pane · counted from the engine's plot table and the script's draw calls

Series

  • Line2 visible · 25 helper
    Impact glowAverage impact rank
  • Band fills (render.band calls)2
Legend
Impact glow Average impact rank

Signal marks

Impact spikeLiquidity returning

Drawings and chart effects

  • Dashboard tables1 created

How it runs

From source to the live chart, for this script

  1. 1
    Compile

    The QuaScript compiler checks the 52-line script (43 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.

  2. 2
    Place

    The header sets pane = hpane with height = 0.3 (30% of the chart), so the output gets its own pane under the price with its own scale.

  3. 3
    Compute

    The script runs once per bar, oldest to newest. Each bar also runs 2 loops (2 for). 1 persist variable keeps state (objects, counters) across bars.

  4. 4
    Stay 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.

  5. 5
    Render

    The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.

  6. 6
    Tune

    4 settings in 2 groups 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

WebGPUSeries renderer

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.

In this script
  • • 27 plotted series
  • • 2 band fill calls
  • • 2 signal mark types

Chosen by render = webgpu in the header.

WebGLNot used

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.

CanvasUsed

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.

In this script
  • • 1 dashboard tables (QuaScript layer)

Alerts

1 alert rule declared with alert.rule

Impact spike

Price impact per unit of volume is unusually high

Settings

4 settings, grouped as in the chart's settings dialog

Field
SettingTypeDefaultRange / optionsId
Shortest windowInteger105 – 200shortest_window
Window stepInteger102 – 100window_step
Rank historyInteger30050 – 5000rank_history
Signals
SettingTypeDefaultRange / optionsId
Impact spike rankNumber8550 – 99impact_spike_rank

Script

packages/quascript/presets/analysis/gpu/price_impact_field.qs

Header

analysis "Price Impact Field" {
    pane = hpane
    height = 0.3
    render = webgpu
    short_title = PIF
    precision = 0
}
Total lines
52
Code lines
43
Comment lines
8
Helper functions
0
Loops
2
Persistent variables
1
Higher-interval feeds
0
Engine plots
27

Built with

Statistics (stat.*)
stat.percent_rank
Microstructure kernels (hft.*)
hft.amihudhft.kyle_lambda
Math (math.*)
math.coalesce
Imported modules
viz/premium

Discussion

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