rusty_backtest::features::tardis_features

Function calculate_liquidity_shock_ratio

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

Liquidity Shocks Detector

Detects abrupt changes in liquidity by comparing top levels to total depth