microstructure.hpp File Reference

Best-bid-offer microstructure metrics derived from the order book. More...

#include <cstddef>
#include <cstdint>
#include <limits>
#include "itch/book/l3_book.hpp"

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Namespaces
namespace	itch
namespace	itch::analytics

Functions
auto	itch::analytics::spread (const book::Bbo &bbo) -> double
	The bid-ask spread in price units, or NaN if either side is empty.
auto	itch::analytics::mid_price (const book::Bbo &bbo) -> double
	The mid price ((bid + ask) / 2), or NaN if either side is empty.
auto	itch::analytics::queue_imbalance (const book::Bbo &bbo) -> double
	Top-of-book queue imbalance in [-1, 1].
auto	itch::analytics::depth_at_level (const book::L3Book &book, book::Side side, std::size_t levels) -> std::uint64_t
	Total displayed shares within the best levels price levels of a side.
auto	itch::analytics::order_flow_imbalance (const book::Bbo &previous, const book::Bbo &current) -> double
	The order-flow imbalance between two consecutive BBO observations.

Detailed Description

Best-bid-offer microstructure metrics derived from the order book.

Small, allocation-free functions that compute spread, mid price, queue imbalance, depth, and order-flow imbalance from Bbo/L3Book snapshots.

Author

Bertin Balouki SIMYELI

Definition in file microstructure.hpp.