Language guide, engine API, 601 builtins and the preset library · v3.0.0-phase1
book: order book (host data)
Generated from the engine catalog by tools/gen-docs.mjs; do not edit.
Constants
Name
Value
Meaning
book.ask_side
1
Ask side (1).
book.bid_side
-1
Bid side (-1).
book.col_orders
3
Order count column of book.bids / book.asks (na when unknown).
book.col_price
0
Price column of book.bids / book.asks.
book.col_size
1
Size column of book.bids / book.asks.
book.col_total
2
Cumulative size column of book.bids / book.asks.
book.order_id
3
Order id column of book.orders.
book.order_price
1
Price column of book.orders.
book.order_side
0
Side column of book.orders (-1 bid, 1 ask).
book.order_size
2
Size column of book.orders.
book.ask
script.qs
book.ask
Best ask price of this bar's book.
Needs host data (order book).
book.ask_size
script.qs
book.ask_size
Size resting at the best ask.
Needs host data (order book).
book.ask_volume
script.qs
book.ask_volume(levels = 0) -> series
Resting ask size over the top levels (0 = the whole side).
Argument
Kind
Default
Notes
levels
int
0
Needs host data (order book).
book.asks
script.qs
book.asks
The ask side of this bar's order book as a grid: one row per price level, best first; columns price, size, cumulative size and order count. Empty when the bar has no book.
Needs host data (order book).
book.bid
script.qs
book.bid
Best bid price of this bar's book.
Needs host data (order book).
book.bid_size
script.qs
book.bid_size
Size resting at the best bid.
Needs host data (order book).
book.bid_volume
script.qs
book.bid_volume(levels = 0) -> series
Resting bid size over the top levels (0 = the whole side).
Argument
Kind
Default
Notes
levels
int
0
Needs host data (order book).
book.bids
script.qs
book.bids
The bid side of this bar's order book (L1 / L2, or aggregated from L3 orders) as a grid: one row per price level, best first; columns price, size, cumulative size and order count (book.colprice / colsize / coltotal / colorders; the count is na when the feed does not report it). Empty when the bar has no book.
Needs host data (order book).
script.qs
bids = book.bids
for i in 0..grid.rows(bids) { depth += grid.get(bids, i, book.col_size) }
book.depth
script.qs
book.depth
What this bar's book holds: 0 nothing, 1 top of book (L1), 2 price levels (L2), 3 individual orders (L3); na when the chart supplies no book at all.
Needs host data (order book).
book.imbalance
script.qs
book.imbalance(levels = 0) -> series
(bid size - ask size) / (bid size + ask size) over the top levels (0 = the whole book), -1 .. 1.
Argument
Kind
Default
Notes
levels
int
0
Needs host data (order book).
book.impact
script.qs
book.impact(qty, side = 1) -> series
Percent between the mid and the average fill of a market order of qty walking the book (side = book.askside to buy, book.bidside to sell); na when the book is too thin.
Argument
Kind
Default
Notes
qty
num
required
side
int
1
Needs host data (order book).
book.largest_order
script.qs
book.largest_order(side = 0) -> (price, size)
The largest single resting order (L3) on one side (0 = either): (price, size).
Argument
Kind
Default
Notes
side
int
0
Returns 2 values: price, size. Needs host data (order book).
book.levels
script.qs
book.levels
Price levels present on both sides of this bar's book (0 = no book on this bar).
Needs host data (order book).
book.liquidity
script.qs
book.liquidity(pct, side = 0) -> series
Resting size within pct percent of the mid price: side = book.bidside, book.askside or 0 for both.
Argument
Kind
Default
Notes
pct
num
required
side
int
0
Needs host data (order book).
script.qs
near = book.liquidity(0.25)
book.microprice
script.qs
book.microprice
Mid price weighted by the opposite touch sizes (leans towards the thinner side).
Needs host data (order book).
book.mid
script.qs
book.mid
(best bid + best ask) / 2 of this bar's book.
Needs host data (order book).
book.order_count
script.qs
book.order_count(side = 0) -> series
Resting orders on one side (0 = both): counted from L3 orders, else summed from the order counts of L2 levels; na when the feed reports neither.
Argument
Kind
Default
Notes
side
int
0
Needs host data (order book).
book.orders
script.qs
book.orders
Every resting order of this bar's book (L3 / market-by-order feeds) as a grid: columns side (-1 bid, 1 ask), price, size and order id (book.orderside / orderprice / ordersize / orderid). Empty without L3 data.
Needs host data (order book).
book.pressure
script.qs
book.pressure(decay = 0.25) -> series
Distance-weighted imbalance of the whole book, -1 .. 1: each level counts exp(-distance% / decay), so orders near the touch dominate.
Argument
Kind
Default
Notes
decay
num
0.25
Needs host data (order book).
book.spread
script.qs
book.spread
Best ask - best bid of this bar's book.
Needs host data (order book).
book.vwap
script.qs
book.vwap(side, levels = 0) -> series
Size-weighted average price of one side over the top levels (0 = the whole side).
Argument
Kind
Default
Notes
side
int
required
levels
int
0
Needs host data (order book).
book.wall
script.qs
book.wall(side, levels = 0) -> (price, size)
The largest price level of one side (over the top levels, 0 = the whole side): (price, size).
Argument
Kind
Default
Notes
side
int
required
levels
int
0
Returns 2 values: price, size. Needs host data (order book).
