Can anyone provide us with an empirical example (in Python) of market impact visualization, methods of its estimation (in the framework of a parametric model for impact functions) ?
The market impact is the influence of the pressure exerted by the flow of metaorders on price dynamics.
Metaorders are large orders issued in general by asset managers or investment banks; they are then split in small child orders according to an optimal trading strategy.
Nowadays, if you look at orderflows of child orders, you will not see any market impact. Your can see the price impact of one transaction (typically of a market order, ie a liquidity consuming order).
Without a database of metaorders you will not see any market impact. In the past (12 years ago or more), it was possible to infer the presence of a large imbalance of metaorders just looking at the buying or selling pressure at 1min to 5min time scale, but it is not more the case. With fragmentation especially, metaorders are far more protected from detection that in the past.
If you want details, I would recommend either
- Bacry, Iuga, Lasnier, and L "Market impacts and the life cycle of investors orders" Market Microstructure and Liquidity 1.02 (2015): 1550009.
- L and Laruelle. Market microstructure in practice. World Scientific, 2018.