Function calculate_queue_imbalance

Source
pub fn calculate_queue_imbalance(
    bids: &SmallVec<[Level; 25]>,
    asks: &SmallVec<[Level; 25]>,
) -> f64
Expand description

Calculate basic queue imbalance at best bid/ask

Returns normalized imbalance (-1.0 to 1.0) where:

  • Positive values indicate bid quantity dominance
  • Negative values indicate ask quantity dominance