longbridge-market-microstructure

Original：🇺🇸 English

Translated

Market microstructure analysis via Longbridge Securities — bid-ask spread, order-flow toxicity (large-order pressure), liquidity depth, price impact, and institutional order direction. Covers A-share call-auction analysis and HK block-trade mechanics. Triggers: "盘口分析", "微观结构", "订单流", "大单分析", "买卖价差", "逐笔分析", "买卖盘深度", "挂单墙", "主力动向", "集合竞价", "盤口分析", "微觀結構", "訂單流", "大單分析", "買賣價差", "逐筆分析", "買賣盤深度", "掛單牆", "主力動向", "market microstructure", "order flow", "bid-ask spread", "depth analysis", "large order", "order book imbalance", "price impact", "auction analysis", "institutional order flow".

3installs

Sourcelongbridge/skills

Added on2026-05-09

NPX Install

npx skill4agent add longbridge/skills longbridge-market-microstructure

SKILL.md Content

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longbridge-market-microstructure

Combines orderbook depth, tick-by-tick trades, and capital-flow data to assess bid-ask spread, order-flow imbalance, liquidity depth, and short-term institutional pressure for a single symbol.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

"TSLA 盘口分析", "NVDA order flow", "700.HK 买卖盘深度" → full microstructure report
"挂单墙在哪里", "order book imbalance" → depth-only analysis (
```
depth
```
)
"大单主力方向", "institutional order flow" → trades + capital combined
"集合竞价分析" (A-share pre-open auction) → depth + trades during auction session
"港股大宗交易" (HK block trades) → trades with type filter + brokers queue

Do not use this skill for historical (multi-day) flow analysis — route to

longbridge-capital-flow

or

longbridge-kline

.

Workflow

Resolve the user's symbol to
```
<CODE>.<MARKET>
```
(e.g.
```
NVDA.US
```
,
```
700.HK
```
,
```
600519.SH
```
).

Run

longbridge depth --help

and

longbridge trades --help

to confirm current flag names.

Fetch orderbook depth with
```
longbridge depth <SYMBOL> --format json
```
.

Fetch recent tick trades (last 100) with

longbridge trades <SYMBOL> --count 100 --format json

.

Fetch capital-flow distribution (large / medium / small orders) with
```
longbridge capital <SYMBOL> --format json
```
.
For HK symbols only, also fetch
```
longbridge brokers <SYMBOL> --format json
```
to identify large broker queues (potential institutional blocks).
Compute or estimate:
- Weighted bid-ask spread = (best_ask − best_bid) / mid_price
- Depth asymmetry = (total_bid_volume − total_ask_volume) / (total_bid_volume + total_ask_volume) across all levels
- Buy-initiated ratio = buy-side active trades / total trades (from tick data)
- Large-order net pressure = large_buy_amount − large_sell_amount (from capital snapshot)
- Order-wall levels = price levels with volume ≥ 3× average level volume (potential support/resistance)
Output a structured microstructure report (see Output section).

CLI

bash

# Confirm current flags before use
longbridge depth --help
longbridge trades --help
longbridge capital --help
longbridge brokers --help

# Orderbook depth (5/10-level bid/ask)
longbridge depth NVDA.US --format json

# Recent 100 tick trades
longbridge trades NVDA.US --count 100 --format json

# Capital flow (large/medium/small order distribution)
longbridge capital NVDA.US --format json

# Broker queue — HK symbols only
longbridge brokers 700.HK --format json

Output

Render a structured report with these sections:

Section	简体	繁體	English
Spread & liquidity	价差与流动性	價差與流動性	Spread & Liquidity
Depth asymmetry	盘口不对称	盤口不對稱	Depth Asymmetry
Order-flow pressure	订单流压力	訂單流壓力	Order-Flow Pressure
Order walls	挂单墙	掛單牆	Order Walls
Direction bias	短线方向偏向	短線方向偏向	Short-Term Directional Bias

Key field translations (LLM maps JSON keys → user language):

Field	简体	繁體	English
`asks / bids`	卖盘 / 买盘	賣盤 / 買盤	Ask / Bid
`price / volume / order_num`	价格 / 数量 / 委托笔数	價格 / 數量 / 委託筆數	Price / Volume / Order count
`direction`	方向（主买/主卖）	方向（主買/主賣）	Direction (buy/sell initiated)
`large_in / large_out`	大单流入 / 流出	大單流入 / 流出	Large order in/out

Off-hours caveat: outside regular trading hours, depth is a closing snapshot and trades are from the prior session — state this explicitly.

A-share call-auction note: during 09:15–09:25 CST (pre-open), depth reflects indicative auction prices, not continuous quotes. Mention this when the user's query occurs in that window.

HK block trades: trades with

type = block

or large-volume single prints may indicate off-exchange block deals — highlight these separately.

Error handling

Situation	简体回复	繁體回復	English reply
`command not found: longbridge`	请安装 longbridge-terminal，或使用 MCP 回退	請安裝 longbridge-terminal，或使用 MCP 回退	Install longbridge-terminal or use MCP fallback
stderr `not logged in`	请运行 `longbridge auth login`	請執行 `longbridge auth login`	Run `longbridge auth login`
`brokers` on non-HK symbol	经纪商队列仅支持港股	經紀商隊列僅支援港股	Broker queue is HK-only
Other stderr	原样转述，不静默重试	原樣轉述，不靜默重試	Relay verbatim, no silent retry

MCP fallback

CLI subcommand	MCP tool
`depth`	`mcp__longbridge__depth`
`trades`	`mcp__longbridge__trades`
`brokers`	`mcp__longbridge__brokers`
`capital`	`mcp__longbridge__capital_distribution`

Related skills

Skill	Why
`longbridge-depth`	Raw orderbook / tick data without microstructure analysis layer
`longbridge-capital-flow`	Intraday capital-flow time series and order-size distribution
`longbridge-anomaly`	Unusual price/volume movements and trade-statistics profile
`longbridge-quote`	Real-time price, volume, and valuation indices

File layout

longbridge-market-microstructure/
└── SKILL.md          # prompt-only, no scripts/

longbridge-market-microstructure

NPX Install

Tags

SKILL.md Content

longbridge-market-microstructure

When to use

Workflow

CLI

Output

Error handling

MCP fallback

Related skills

File layout