rusty_backtest::features::tardis_features

Function calculate_volume_weighted_ofi

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

Volume-Weighted OFI

Calculates order flow imbalance using volume-weighted average prices