rusty_backtest::features::tardis_features

Function calculate_weighted_order_imbalance

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

Weighted Order Imbalance

Calculates imbalance using weighted volumes where closer levels have higher weights