orderbook (host data)

Generated from the engine catalog by tools/gen-docs.mjs; do not edit.

orderbook.ask

orderbook.ask(level = 0) -> series

Ask price at a level of the bar's book (0 = best).

Needs host data (order book).

orderbook.ask_size

orderbook.ask_size(level = 0) -> series

Ask size at a level of the bar's book (0 = best).

Needs host data (order book).

orderbook.bid

orderbook.bid(level = 0) -> series

Bid price at a level of the bar's book (0 = best).

Needs host data (order book).

orderbook.bid_size

orderbook.bid_size(level = 0) -> series

Bid size at a level of the bar's book (0 = best).

Needs host data (order book).

orderbook.depth_ratio

orderbook.depth_ratio(levels = 5) -> series

Bid size / ask size over the top levels.

Needs host data (order book).

orderbook.imbalance

orderbook.imbalance(levels = 5) -> series

(bid size - ask size) / total over the top levels.

Needs host data (order book).

orderbook.microprice

orderbook.microprice() -> series

Size-weighted mid price.

Needs host data (order book).

orderbook.mid

orderbook.mid() -> series

Mid price.

Needs host data (order book).

orderbook.ofi

orderbook.ofi(levels = 1) -> series

Order flow imbalance (Cont-Kukanov-Stoikov) over the top levels: bid queue growth minus ask queue growth since the previous bar.

Keeps state per call site. Needs host data (order book).

orderbook.slippage

orderbook.slippage(qty, side) -> series

Average fill distance from the best price for a market order of qty.

Needs host data (order book).

orderbook.spread

orderbook.spread() -> series

Best ask - best bid.

Needs host data (order book).

orderbook.spread_ticks

orderbook.spread_ticks() -> series

Spread in ticks.

Needs host data (order book).