rusty_backtest::features::order_flow

Function calculate_weighted_ofi

Source 
pub fn calculate_weighted_ofi(
    prev_book: &OrderBookSnapshot,
    curr_book: &OrderBookSnapshot,
    max_levels: usize,
) -> f64
Expand description

Calculate multi-level weighted OFI

Extends basic OFI to multiple levels with distance-based weighting. Levels closer to mid-price receive higher weights.