Trespass

Trespass reads structural tension in the order book by aggregating bid-ask depth across multiple levels, isolating authentic liquidity shifts from transient noise and quote stuffing. High-frequency execution meets precision filtering: trades trigger only when imbalance strength, directional probability, and spoofing absence all align. Trespass delivers consistent, volume-driven alpha across changing market conditions, handling execution latency effectively while adapting to different market regimes.
The core mechanism employs tick stacking, aggregating volume across L levels (typically 3-5) on both sides to compute the imbalance ratio (total buying/selling pressure divided by total volume). This raw signal gives us the relative normalised imbalance ratio, which then passes through proprietary noise filtering to remove quote stuffing and transient pressure. Trades execute when the filtered imbalance breaches configurable thresholds (typically >0.5), Microprobability score exceeds 0.8 in the same direction, and Spoofing probability remains under 0.2. Exit logic is risk-profile dependent, closing positions early if market conditions deteriorate during the execution of a trade.