itch::analytics Namespace Reference

Classes
struct	Auction
	A reconstructed auction (cross) event. More...
class	AuctionTracker
	Reconstructs auctions from the NOII and Cross Trade message stream. More...
struct	Bar
	One OHLCV bar aggregated from the trade tape. More...
class	BarBuilder
	Builds OHLCV bars from a trade stream under a configurable clock. More...
struct	ImbalanceInfo
	A usable, decoded view of a Net Order Imbalance Indicator (I) message. More...
struct	TickClock
	A clock that buckets a fixed number of trades into each bar. More...
struct	TimeClock
	A clock that buckets trades by wall-clock time (nanoseconds). More...
class	Twap
	Running time-weighted average price. More...
struct	VolumeClock
	A clock that buckets a fixed amount of traded volume into each bar. More...
class	Vwap
	Running volume-weighted average price. More...

Typedefs
using	BarCallback = std::function< void(const Bar &)>
	Callback invoked with each completed bar.

Functions
auto	cross_type_name (char cross_type) -> std::string_view
	A human-readable description of a cross type code.
auto	make_imbalance_info (const NOIIMessage &msg) -> ImbalanceInfo
	Builds an ImbalanceInfo from a raw NOII message.
auto	imbalance_direction_name (char direction) -> std::string_view
	A human-readable description of an imbalance direction code.
auto	spread (const book::Bbo &bbo) -> double
	The bid-ask spread in price units, or NaN if either side is empty.
auto	mid_price (const book::Bbo &bbo) -> double
	The mid price ((bid + ask) / 2), or NaN if either side is empty.
auto	queue_imbalance (const book::Bbo &bbo) -> double
	Top-of-book queue imbalance in [-1, 1].
auto	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	order_flow_imbalance (const book::Bbo &previous, const book::Bbo &current) -> double
	The order-flow imbalance between two consecutive BBO observations.

Typedef Documentation

BarCallback

using itch::analytics::BarCallback = typedef std::function<void(const Bar&)>

Callback invoked with each completed bar.

Definition at line 36 of file bars.hpp.

Function Documentation

cross_type_name()

auto itch::analytics::cross_type_name ( char  cross_type ) -> std::string_view

inline

A human-readable description of a cross type code.

Parameters

cross_type

The single-character cross type code (e.g. 'O', 'C', 'H', 'I').

Returns

A short description of cross_type, or "Unknown" if unrecognized.

Definition at line 51 of file auctions.hpp.

References itch::indicators::FrozenMap< KeyType, Size >::at_or().

make_imbalance_info()

auto itch::analytics::make_imbalance_info ( const NOIIMessage &  msg ) -> ImbalanceInfo

inline

Builds an ImbalanceInfo from a raw NOII message.

Parameters

msg	The raw NOII message to decode.

Returns

An ImbalanceInfo populated from msg's fields.

Definition at line 47 of file imbalance.hpp.

References itch::STOCK_LEN, itch::analytics::ImbalanceInfo::timestamp, and itch::to_string().

Referenced by itch::analytics::AuctionTracker::process().

imbalance_direction_name()

auto itch::analytics::imbalance_direction_name ( char  direction ) -> std::string_view

inline

A human-readable description of an imbalance direction code.

Parameters

direction

The single-character imbalance direction code (e.g. 'B', 'S', 'N').

Returns

A short description of direction, or "Unknown" if unrecognized.

Definition at line 67 of file imbalance.hpp.

References itch::indicators::FrozenMap< KeyType, Size >::at_or().

spread()

auto itch::analytics::spread ( const book::Bbo &  bbo ) -> double

inline

The bid-ask spread in price units, or NaN if either side is empty.

Parameters

bbo	The best-bid-offer snapshot to compute the spread from.

Returns

ask_price - bid_price, or NaN if either side has no resting order.

Definition at line 23 of file microstructure.hpp.

mid_price()

auto itch::analytics::mid_price ( const book::Bbo &  bbo ) -> double

inline

The mid price ((bid + ask) / 2), or NaN if either side is empty.

Parameters

bbo	The best-bid-offer snapshot to compute the mid price from.

Returns

The average of the bid and ask prices, or NaN if either side has no resting order.

Definition at line 35 of file microstructure.hpp.

queue_imbalance()

auto itch::analytics::queue_imbalance ( const book::Bbo &  bbo ) -> double

inline

Top-of-book queue imbalance in [-1, 1].

Positive values indicate more size resting on the bid than the offer (buy-side pressure); negative values the reverse. Returns NaN when there is no resting size at the top of either side.

Parameters

bbo	The best-bid-offer snapshot to compute the queue imbalance from.

Returns

The normalized bid/ask size imbalance in [-1, 1], or NaN if both sides are empty.

Definition at line 51 of file microstructure.hpp.

depth_at_level()

auto itch::analytics::depth_at_level ( const book::L3Book &  book, book::Side  side, std::size_t  levels  ) -> std::uint64_t

inline

Total displayed shares within the best levels price levels of a side.

Parameters

book	The order book to query.
side	The book side (bid or ask) to sum depth for.
levels	Number of best price levels to include.

Returns

The total displayed shares across the requested levels.

Definition at line 67 of file microstructure.hpp.

References side.

order_flow_imbalance()

auto itch::analytics::order_flow_imbalance ( const book::Bbo &  previous, const book::Bbo &  current  ) -> double

inline

The order-flow imbalance between two consecutive BBO observations.

Implements the standard order-flow-imbalance contribution of Cont, Kukanov and Stoikov: each side compares the new best price and size against the previous to attribute added or removed liquidity, and the offer contribution is subtracted from the bid contribution. Positive values indicate net buy-side flow.

Parameters

previous	The prior best-bid-offer snapshot.
current	The current best-bid-offer snapshot.

Returns

The signed order-flow-imbalance contribution between the two snapshots.

Definition at line 87 of file microstructure.hpp.