#25 — EUR/USD microstructure / tick-pace

Hypothesis — what it tests

Does the within-bar tick distribution (tick-pace, book thinness, velocity) predict EUR/USD price action — and is that prediction directional or magnitude-only?

Description

A deep statistical-physics dive into how EUR/USD bars form across timeframes, built from seven purpose-written scripts. It measured True-Range distributions (big bars are a fractal-constant ~1.4% of bars at every TF), shock propagation upward across timeframes (22–46× conditional lifts), velocity scaling that matches Brownian 1/√TF exactly, and three rolling microstructure metrics — pips/min (ppm), ticks/min (tpm), pips/tick (ppt). The headline: rising tick-rate (z_tpm) predicts an imminent big M5 bar with a 4× lift (Q5 4.9% vs Q1 1.2%), firing ~7 signals/day, and market-makers measurably withdraw liquidity (+10.3% spread spike) in the 30 seconds before the move — but none of it says which WAY price will go, and raw forward returns after the signal are negative even before spread (−1.90p net at +1 bar). This became one of the project's recurring walls: volatility/timing/magnitude are forecastable, direction is not. Filed 'not exploitable standalone'; the tick-pace idea survives only as a volatility gate on a separate directional edge.

Key result

Indicators

Algorithms

Code