Module liquidity

Liquidity Analysis - Market depth and liquidity metrics

Implements liquidity-based microstructural features for market analysis.

Structs

LiquidityAnalyzer

Liquidity analyzer for comprehensive liquidity metrics

Functions

calculate_liquidity_imbalance

Calculate liquidity imbalance

calculate_liquidity_shocks

Detect liquidity shocks (sudden changes in market depth)

calculate_total_liquidity

Calculate total liquidity within N levels