Module tardis_features

Advanced Microstructural Features from Binance Tardis L2 Structure

This module implements comprehensive microstructural features based on the Binance Tardis L2 data structure, including:

• Weighted Order Imbalance
• Relative Spread
• Volume-Weighted OFI
• Depth-Weighted OFI
• Queue Imbalance with multi-level support
• Liquidity Shocks
• Price Run
• Advanced VPIN calculations

Structs

AdvancedVPINCalculator

Advanced VPIN Calculator with Volume Buckets

ExponentialDecayCalculator

Exponential Decay Rate Calculator

PriceEntropyCalculator

Entropy of Price Changes Calculator

PriceRunCalculator

Price Run Calculator

RelativeTickVolumeCalculator

Relative Tick Volume Calculator

RollingPriceImpactCalculator

Rolling Price Impact Calculator

TradingBurstDetector

Bursts in Trading Activity Calculator

VolumePriceSensitivityCalculator

Volume-to-Price Sensitivity Calculator

Functions

calculate_depth_weighted_ofi

Depth-Weighted OFI

calculate_liquidity_shock_ratio

Liquidity Shocks Detector

calculate_multi_level_ofi_detailed

Multi-Level OFI with Price Matching

calculate_multi_level_queue_imbalance

Queue Imbalance at Multiple Levels

calculate_order_book_depth

Order Book Depth Calculator

calculate_order_book_slope

Order Book Slope Calculator

calculate_order_cancel_rate

Order Cancel Estimated Rate

calculate_relative_spread

Relative Spread

calculate_volume_weighted_ofi

Volume-Weighted OFI

calculate_weighted_order_imbalance

Weighted Order Imbalance