Gaps do predict the price
If you zoom in on order flow, you’ll notice something interesting; gaps, moments where there’s simply no liquidity at certain price levels, empty ticks
When a market order hits those gaps, price doesn’t “trade through” smoothly, it jumps straight to the next level that actually has liquidity. Those empty ticks get swept instantly.
so Instead of measuring pressure with classic order book imbalance (where more size = more directional weight), you can flip the perspective: Less liquidity = more impact.
I call it “gap imbalance.” The emptier one side of the book is, the easier it is for price to move aggressively in that direction.
I built a sub–microsecond engine to test this as a microstructure alpha. It’s raw, very execution-sensitive, but the behavior is real if you look closely enough at the tape. you can find it on github under gap-mm, obviously i cant share the link directly.
Curious if anyone else has explored something similar, focusing on absence of liquidity rather than presence.