rusty_backtest::features::tardis_features

Function calculate_multi_level_ofi_detailed

Source 
pub fn calculate_multi_level_ofi_detailed(
    prev_bids: &SmallVec<[Level; 25]>,
    prev_asks: &SmallVec<[Level; 25]>,
    curr_bids: &SmallVec<[Level; 25]>,
    curr_asks: &SmallVec<[Level; 25]>,
) -> f64
Expand description

Multi-Level OFI with Price Matching

Detailed OFI calculation that tracks volume changes at specific price levels