Module order_flow

Order Flow Analysis - High-performance implementation of OFI and VPIN

Based on patterns from Binance Tardis reference implementation with Rust-specific optimizations for HFT performance.

Structs

OrderFlowAnalyzer

Order Flow Analyzer for comprehensive order flow metrics

VPINCalculator

High-performance VPIN calculation with rolling window

Functions

calculate_ofi

Calculate basic Order Flow Imbalance (OFI)

calculate_vpin

Calculate Volume-Synchronized Probability of Informed Trading (VPIN)

calculate_weighted_ofi

Calculate multi-level weighted OFI