Kraken

As of · Methodology v0.1.1

Shadow mode is active during the initial calibration window. The composite score and band assignment will publish once sufficient peer baseline history has accumulated. Dimension and metric scores are live.

D1 Volume authenticity weight 30%
69.2
Trade size distribution · Volume-to-order-book ratio · Trade interval entropy
M01
Trade size distribution (Benford-adjusted)
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See methodology entry for M01 → for full inputs, formula, and score mapping.

M01
Trade size distribution (Benford-adjusted)
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See methodology entry for M01 → for full inputs, formula, and score mapping.

M02
Volume-to-order-book-depth ratio
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See methodology entry for M02 → for full inputs, formula, and score mapping.

M02
Volume-to-order-book-depth ratio
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See methodology entry for M02 → for full inputs, formula, and score mapping.

M03
Trade interval entropy
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See methodology entry for M03 → for full inputs, formula, and score mapping.

M03
Trade interval entropy
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See methodology entry for M03 → for full inputs, formula, and score mapping.

D2 Order book quality weight 25%
77.5
Effective spread · Order book slope · Quote stability and update rate
M04
Effective spread
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See methodology entry for M04 → for full inputs, formula, and score mapping.

M04
Effective spread
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See methodology entry for M04 → for full inputs, formula, and score mapping.

M05
Order book slope (Kyle's λ proxy)
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See methodology entry for M05 → for full inputs, formula, and score mapping.

M05
Order book slope (Kyle's λ proxy)
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See methodology entry for M05 → for full inputs, formula, and score mapping.

M06
Quote stability and flickering
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See methodology entry for M06 → for full inputs, formula, and score mapping.

M06
Quote stability and flickering
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See methodology entry for M06 → for full inputs, formula, and score mapping.

D3 Price formation integrity weight 25%
90.4
Cross-venue price deviation · Mid-price reversion dynamics · Funding rate / basis sanity (deferred — v2)
M07
Cross-venue price deviation
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See methodology entry for M07 → for full inputs, formula, and score mapping.

M07
Cross-venue price deviation
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See methodology entry for M07 → for full inputs, formula, and score mapping.

M08
Mid-price reversion dynamics
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See methodology entry for M08 → for full inputs, formula, and score mapping.

M08
Mid-price reversion dynamics
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See methodology entry for M08 → for full inputs, formula, and score mapping.

D4 Cross-venue consistency weight 20%
80.6
Volume share vs liquidity share · Price leadership
M10
Volume share vs liquidity share
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See methodology entry for M10 → for full inputs, formula, and score mapping.

M10
Volume share vs liquidity share
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See methodology entry for M10 → for full inputs, formula, and score mapping.

M11
Price leadership / discovery contribution
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See methodology entry for M11 → for full inputs, formula, and score mapping.

M11
Price leadership / discovery contribution
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See methodology entry for M11 → for full inputs, formula, and score mapping.