nautilus_trading/examples/actors/imbalance/
mod.rs

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15
16//! Order book imbalance actor.
17//!
18//! Subscribes to order book deltas for a set of instruments and tracks the
19//! cumulative bid/ask quoted volume. For each batch of deltas, sums the
20//! resting size at each updated price level per side and computes:
21//!
22//! `imbalance = (bid_volume - ask_volume) / (bid_volume + ask_volume)`
23//!
24//! The result ranges from -1.0 (all volume on the ask side) to +1.0 (all
25//! volume on the bid side). This measures which side of the book receives
26//! more quoted volume across updates, not the incremental change in volume.
27//! In a betting exchange context, bids correspond to "back" orders and asks
28//! to "lay" orders.
29
30pub mod actor;
31pub mod config;
32
33#[cfg(test)]
34mod tests;
35
36pub use actor::{BookImbalanceActor, ImbalanceState};
37pub use config::BookImbalanceActorConfig;
nautilus_trading/examples/actors/imbalance/mod.rs

nautilus_trading/examples/actors/imbalance/
mod.rs
