V · Observable world
Station V of The Quant Map: what can we measure? Point-in-time data, COT, order books, funding. Reading order plus the free map PDF.
what can we measure?, point-in-time, or it does not exist
An observable is whatever was knowable then: price, a rate, funding, open interest, a commitment-of-traders print, the book. A revised series, a delisting filled in later, a hedge ratio fit on the whole sample, none of those existed that morning. Point-in-time is the filter. If the series fails it, the feature you build on top is a look at the answer.
The station's one rule: if it was not knowable that morning, it does not exist. Revised series, backfilled delistings, and full-sample hedge ratios are all looks at the answer.
The Quant Map PDF works this spine through example research: five full descents from observation to live rule, and a library of 835 strategy entries, each with a named payer and a named failure mode. Get the free PDF on the Start Here page.
Reading order
Top to bottom. Stop at the first article you cannot apply to a live trade; that is the one to read slowly.
| Article | Why it is on this row |
|---|---|
| Noise Is Not Volatility | Two paths with the same range can be a trend or a chop. The efficiency ratio separates them: net move over path length. |
| Efficiency Ratio Explained for Traders | The number, 0 to 1, that tells you whether the market you are about to trade is the kind your rule wants. |
| How to Rank Markets by Trend Quality | Rank the universe by the observable before you drop one system on all of them. |
| Reading the COT Report: Three Trader Groups, One Edge | Positioning is public, weekly, and late. The lag is why a slow account can still use it. |
| Why Commercials Are Counter-Trend (and Lead by 2 Weeks) | The group, the sign, and the lag. A COT rule that ignores which group is a story. |
| Order Book Imbalance: The First Microstructure Feature to Test | The standing queue is the observable. Mid is a summary that throws most of it away. |
| Microprice: Better Than Mid Price? | A size-weighted quote is a different observable from the average of bid and ask. |
| Fill Probability from Trade Size CDFs | Whether you get filled is measurable from the tape. A backtest that assumes the fill is assuming the answer. |
On the map: ← IV · Edge mechanisms · The grand map · VI · Feature engineering →