rusty_backtest::features::tardis_features

Function calculate_order_cancel_rate

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

Order Cancel Estimated Rate

Estimates the rate of order cancellations based on ask/bid imbalance