Expand description
Order book imbalance actor.
Subscribes to order book deltas for a set of instruments and tracks the cumulative bid/ask quoted volume. For each batch of deltas, sums the resting size at each updated price level per side and computes:
imbalance = (bid_volume - ask_volume) / (bid_volume + ask_volume)
The result ranges from -1.0 (all volume on the ask side) to +1.0 (all volume on the bid side). This measures which side of the book receives more quoted volume across updates, not the incremental change in volume. In a betting exchange context, bids correspond to “back” orders and asks to “lay” orders.
Re-exports§
pub use actor::BookImbalanceActor;pub use actor::ImbalanceState;pub use config::BookImbalanceActorConfig;