longbridge-market-microstructure

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

1. Resolve the user's symbol to <CODE>.<MARKET> (e.g. NVDA.US, 700.HK, 600519.SH).
2. Run longbridge --help to see available subcommands; run longbridge <subcommand> --help to confirm current flags for each.
3. Fetch orderbook depth using the depth subcommand with --format json.
4. Fetch recent tick trades using the trades subcommand with --format json (check --help for count/range flags).
5. Fetch capital-flow distribution (large / medium / small orders) with longbridge capital <SYMBOL> --format json.
6. For HK symbols only, also fetch longbridge brokers <SYMBOL> --format json to identify large broker queues (potential institutional blocks).
7. Compute or estimate:
8. Weighted bid-ask spread = (best_ask − best_bid) / mid_price
9. Depth asymmetry = (total_bid_volume − total_ask_volume) / (total_bid_volume + total_ask_volume) across all levels
10. Buy-initiated ratio = buy-side active trades / total trades (from tick data)
11. Large-order net pressure = large_buy_amount − large_sell_amount (from capital snapshot)
12. Order-wall levels = price levels with volume ≥ 3× average level volume (potential support/resistance)
13. Output a structured microstructure report (see Output section).

CLI

# Discover available subcommands and their flags first
longbridge --help
longbridge <subcommand> --help   # run for each subcommand before use

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

# Recent tick trades (check --help for count/range flags)
longbridge <trades-subcommand> NVDA.US --format json

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

# Broker queue — HK symbols only
longbridge <brokers-subcommand> 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

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime — do not rely on hardcoded tool names.

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/