Trading.Analytics (trading v0.1.0)
Market microstructure analytics for analyzing order book dynamics.
Summary
Functions
Analyzes order flow toxicity using various metrics.
Calculates order book imbalance.
Calculates comprehensive market microstructure metrics.
Calculates the mid price.
Calculates price impact for a given order size.
Calculates the bid-ask spread.
Calculates volume-weighted average price (VWAP) from trades.
Calculates the weighted mid price based on best bid/ask sizes.
Functions
@spec calculate_flow_toxicity([map()], Trading.OrderBook.t()) :: map()
Analyzes order flow toxicity using various metrics.
Calculates order book imbalance.
@spec calculate_metrics( Trading.OrderBook.t(), keyword() ) :: map()
Calculates comprehensive market microstructure metrics.
Calculates the mid price.
@spec calculate_price_impact(Trading.OrderBook.t(), :buy | :sell, pos_integer()) :: %{ price: float() | nil, cost: float() | nil, impact_bps: float() | nil }
Calculates price impact for a given order size.
Calculates the bid-ask spread.
Calculates volume-weighted average price (VWAP) from trades.
@spec calculate_weighted_mid_price(Trading.OrderBook.t()) :: float() | nil
Calculates the weighted mid price based on best bid/ask sizes.