SIP 1s NBBO+trades, AAPL, 22 days, 2026-08-03..2026-09-15. Shock = 5-min return / (trailing 30-min rvol * sqrt(5)), |z|>=3.0. TRUE OFI/signed-volume/spread. Single name -> directional evidence only, not a cross-sectional claim.
Events by sign and order-flow intensity (EXCESS vs drift)
All figures subtract the unconditional same-horizon forward return (AAPL drifted up over the window). OFI sign is mechanically aligned with the move, so the split is by |OFI z| (flow-driven vs not). NEG hit = P(excess>0) (reversal-favourable); POS hit = P(excess<0).
| sign | class | n | fwd60_bp | fwd300_bp | fwd900_bp | fwd1800_bp | fwd_eod_bp | fwd900_hit | fwd_eod_hit |
|---|---|---|---|---|---|---|---|---|---|
| NEG | all | 1936 | +0.87 | +3.45 | +4.69 | +6.99 | +16.74 | 56.2% | 64.4% |
| NEG | ofi | z | >=1 | 1813 | +1.44 | +4.65 | +6.59 | +7.28 | +16.61 |
| NEG | ofi | z | <1 | 123 | -7.50 | -10.49 | -16.66 | +4.02 | +18.65 |
| POS | all | 1828 | -0.64 | +0.52 | +2.36 | +12.42 | -7.21 | 45.0% | 64.1% |
| POS | ofi | z | >=1 | 1809 | -0.64 | +0.58 | +2.52 | +12.84 | -6.65 |
Negative shocks conditioned on spread widening
| spread bucket | n | fwd900 bp | fwd_eod bp | fwd900 hit |
|---|---|---|---|---|
| spr<med | 703 | +7.38 | +23.92 | 64.0% |
| spr+.25 | 853 | -0.62 | +2.40 | 53.9% |
| spr+.5 | 76 | +2.58 | +5.51 | 36.8% |
| spr>+.5 | 304 | +13.29 | +43.18 | 53.3% |
Reading
- EXCESS>0 on NEG events = reversal beyond drift; EXCESS<0 on POS = reversal. If flow-driven moves (|OFI|>=1) reverse LESS than low-flow moves, true order flow marks information rather than liquidity.
- Single-name, 22 days, contemporaneous OFI mechanically tracks the move: treat as mechanism evidence only, never a cross-sectional claim.