rusty_backtest::features::tardis_features

Function calculate_order_book_depth

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

Order Book Depth Calculator

Calculates total depth (sum of all bid and ask quantities)