This is basically scaling and truncing, but te floating point, the remainder, carriers on in the eighted price, and min max at each node. These nodes are bins, and any new trade leaving or old trade departing can traverse the treee and adjust counts, rebalancing as needed.
As long as I scale and truncate to match the market scale, then the technique is timeless, needing only the large sample over the complete sequence under analysis. Do this on an hourly basis, over the day. Weekly or quarterly, make sure you pick a known cycle, known in that you know it..
The tree is searchable, a reader can find the mostly likely trade deal at the current market uncertainty. A Huffman tree is how the pit boss should structure the bid an ask, separately. The tree has forensic capability, imbalances out of place show up, unusual arbitrage moments.. Queues in and out easily micro priced. Easy to use automatic watch dogs looking for mis-shappen tree, ready to pull the alarm.
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