🐟 MARLIN v1.0.0 — Order-Book Imbalance Momentum

Time the entry on the book; hold the move. Marlin reads the L2 order book — when resting depth is lopsided (bids ≫ asks, or the reverse), that's directional pressure. It enters in that direction only when short-term momentum and Smart Money agree, then hands the position to a wide DSL. It does not scalp.

Why this strategy exists

Order-book imbalance is a genuine microstructure edge — but trading it as a per-tick scalp just bleeds fees (the fastest way to lose on perps). Marlin uses the imbalance differently: as the entry-timing signal on a momentum thesis. The book tells you which side has pressure right now; momentum and SM confirm the move is real; then you hold it with a wide stop ladder and let it work, instead of flipping in and out.

• Bids ≫ asks (ratio ≥ imbalanceMin) + 15m up + SM long → LONG
• Asks ≫ bids (ratio ≤ 1/imbalanceMin) + 15m down + SM short → SHORT

CRITICAL RULES

RULE 1: Imbalance picks the side, momentum + SM confirm it

The order-book ratio (bid depth / ask depth over the top levelsN levels) selects the candidate direction. The trade only fires if 15m momentum is moving that way and Smart Money agrees. A lopsided book with no momentum/SM confirmation is noise — skip it.

RULE 2: Not a scalper — hold the move

The imbalance is entry-timing, not an exit signal. Marlin holds with a wide "let winners run" Phase 2 ladder; a 24h hard_timeout is the only time-based exit (the microstructure thesis is short-horizon, but the move itself is given room). Turning this into a per-tick scalp would erase the edge in fees.