analytics Directory Reference

Directory dependency graph for analytics:

Files
	auctions.hpp
	Reconstruction of Nasdaq auction (cross) events from the ITCH feed.
	bars.hpp
	OHLCV bar aggregation from the trade tape under configurable clocks.
	imbalance.hpp
	Decoded view of Net Order Imbalance Indicator (NOII) messages.
	microstructure.hpp
	Best-bid-offer microstructure metrics derived from the order book.
	vwap.hpp
	Running VWAP and TWAP accumulators for streaming price and volume data.