This folder holds the sourcecode developed by Zhen Zhang as part of his MSc project, supervised by Dave Cliff, at the University of Bristol, submitted in September 2020.

The main contribution is to adapt the multi-level order flow imbalance (MLOFI) to IAA.

It includes two modules:

• "impact-sensitive" module
• "evaluation" module

In IAA_MLOFI.py, it is the IAA with "impact-sensitive" module.

In IAA_NEW.py, it is the IAA with two modules.

In IZIP_MLOFI.py, it is the ZZIZIP.

In ZZISHV.py, it is the ZZISHV.