Price impact per dollar traded

Amihud illiquidity over the trailing hour: the sum of absolute one-minute returns divided by the USD traded in those minutes, per million USD of flow (aggregate form, so every minute is weighted by the dollars actually traded in it). Price movement per dollar; higher is thinner. Scale-dependent across symbols (a major and a small cap differ by orders of magnitude), so pool with care. Absent when the window is not covered, has too few populated minutes or traded zero dollars.

Observed: measured over the trailing hour
Unit: per_million_usd
Valid range: 0 to 1000000000000

Example: A recorded value of 750000000000 per_million_usd can be used in the editable condition below.

Use in Research

Technical details

Field ID

feature.amihud_illiq_1h

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

This preset is derived from the valid range. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.amihud_illiq_1h",
        "gte",
        750000000000
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.

Read alongside

Dollar volume over 15 minutes feature.volume_usd_15m
Flow toxicity against this market's own history feature.vpin_pctrank
Illiquidity against this market's own history feature.amihud_illiq_pctrank
Informed-trading pressure feature.vpin
Net taker flow over the trailing four hours feature.taker_net_ratio_4h
Net taker flow over the trailing hour feature.taker_net_ratio_1h