Market depth recovery time

Given a market depth and a significant buy from / sell into the market, market depth will imbalance and need time to recover to typical levels. The risk engine conservatively estimates the amount of time it takes for market depth to recover.

Historical data time window

Overall, risk engines primarily rely on 90-day historical data, leveraging and

Recovery time estimation

To align estimations, risk engines model recovery time based on estimated stable market depth, the process for which is describe here.
Recovery times are measured in the seconds it takes actual market depth to arrive at or above estimated, stable market depth after it falls below it.
To maintain a conservative perspective, the 90th percentile of recovery time is taken for use in further calculations.