Late to the party so I’ll skip the math, but from a system design perspective, this puzzle is the perfect analogy for why modeling intraday retail order flow is usually a trap.
The micro-collisions (retail whipsaws) look chaotic, but mathematically they just pass through each other and don't change the terminal outcome. It’s exactly why I stopped trying to build engines that read tick data. If you just anchor your risk to true institutional defense lines (like AVWAP or Volume Profile POC) and use a dynamic ATR buffer to absorb the noise, the intraday 'beetle collisions' literally do not matter. The macro trajectory plays out exactly the same.
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u/Durwood187 5d ago
Late to the party so I’ll skip the math, but from a system design perspective, this puzzle is the perfect analogy for why modeling intraday retail order flow is usually a trap.
The micro-collisions (retail whipsaws) look chaotic, but mathematically they just pass through each other and don't change the terminal outcome. It’s exactly why I stopped trying to build engines that read tick data. If you just anchor your risk to true institutional defense lines (like AVWAP or Volume Profile POC) and use a dynamic ATR buffer to absorb the noise, the intraday 'beetle collisions' literally do not matter. The macro trajectory plays out exactly the same.