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//! Order Flow Imbalance (OFI) from best-level order-book changes.
use std::collections::VecDeque;
use crate::microstructure::OrderBook;
use crate::traits::Indicator;
use crate::{Error, Result};
/// Order Flow Imbalance — the rolling sum of best-level order-flow events over
/// the last `period` order-book snapshots.
///
/// Following Cont, Kukanov & Stoikov (2014), each new snapshot contributes a
/// signed event from how the best bid and ask moved versus the previous one:
///
/// ```text
/// Δᵇ = qᵇₙ·1{Pᵇₙ ≥ Pᵇₙ₋₁} − qᵇₙ₋₁·1{Pᵇₙ ≤ Pᵇₙ₋₁} (bid pressure)
/// Δᵃ = qᵃₙ·1{Pᵃₙ ≤ Pᵃₙ₋₁} − qᵃₙ₋₁·1{Pᵃₙ ≥ Pᵃₙ₋₁} (ask pressure)
/// eₙ = Δᵇ − Δᵃ
/// OFI = Σ eₙ over the last `period` snapshots
/// ```
///
/// A rising bid (or replenished bid size) and a falling/depleting ask both add
/// positive flow; the mirror subtracts. The rolling sum is a strong
/// short-horizon predictor of price moves: a large positive `OFI` reflects net
/// buying pressure at the top of book, a large negative `OFI` net selling.
///
/// `Input = OrderBook`. Each `update` is O(1) (only the best levels are read).
/// The first snapshot only seeds the reference quotes and emits `None`.
///
/// # Example
///
/// ```
/// use wickra_core::{Indicator, Level, OrderBook, OrderFlowImbalance};
///
/// let mut ofi = OrderFlowImbalance::new(20).unwrap();
/// let book = OrderBook::new(
/// vec![Level::new(100.0, 5.0).unwrap()],
/// vec![Level::new(101.0, 4.0).unwrap()],
/// )
/// .unwrap();
/// assert_eq!(ofi.update(book), None); // first snapshot seeds the reference
/// ```
#[derive(Debug, Clone)]
pub struct OrderFlowImbalance {
period: usize,
prev: Option<(f64, f64, f64, f64)>, // (bid_px, bid_sz, ask_px, ask_sz)
window: VecDeque<f64>,
sum: f64,
}
impl OrderFlowImbalance {
/// Construct a new Order Flow Imbalance over the given snapshot window.
///
/// # Errors
/// Returns [`Error::PeriodZero`] if `period == 0`.
pub fn new(period: usize) -> Result<Self> {
if period == 0 {
return Err(Error::PeriodZero);
}
Ok(Self {
period,
prev: None,
window: VecDeque::with_capacity(period),
sum: 0.0,
})
}
/// Configured period.
pub const fn period(&self) -> usize {
self.period
}
}
impl Indicator for OrderFlowImbalance {
type Input = OrderBook;
type Output = f64;
fn update(&mut self, book: OrderBook) -> Option<f64> {
// A book with no levels on a side carries no best-level information.
let (Some(bid), Some(ask)) = (book.best_bid(), book.best_ask()) else {
return None;
};
let curr = (bid.price, bid.size, ask.price, ask.size);
let Some((pb_px, pb_sz, pa_px, pa_sz)) = self.prev else {
self.prev = Some(curr);
return None;
};
self.prev = Some(curr);
let (bid_px, bid_sz, ask_px, ask_sz) = curr;
// Bid pressure: size added when the bid does not retreat, minus size
// removed when the bid does not advance.
let delta_b = f64::from(u8::from(bid_px >= pb_px)) * bid_sz
- f64::from(u8::from(bid_px <= pb_px)) * pb_sz;
// Ask pressure: size added when the ask does not advance, minus size
// removed when the ask does not retreat.
let delta_a = f64::from(u8::from(ask_px <= pa_px)) * ask_sz
- f64::from(u8::from(ask_px >= pa_px)) * pa_sz;
let event = delta_b - delta_a;
if self.window.len() == self.period {
let old = self.window.pop_front().expect("window is non-empty");
self.sum -= old;
}
self.window.push_back(event);
self.sum += event;
if self.window.len() < self.period {
return None;
}
Some(self.sum)
}
fn reset(&mut self) {
self.prev = None;
self.window.clear();
self.sum = 0.0;
}
fn warmup_period(&self) -> usize {
// One snapshot seeds the reference quotes, then `period` events fill the
// window.
self.period + 1
}
fn is_ready(&self) -> bool {
self.window.len() == self.period
}
fn name(&self) -> &'static str {
"OrderFlowImbalance"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::microstructure::Level;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn book(bid_px: f64, bid_sz: f64, ask_px: f64, ask_sz: f64) -> OrderBook {
OrderBook::new(
vec![Level::new(bid_px, bid_sz).unwrap()],
vec![Level::new(ask_px, ask_sz).unwrap()],
)
.unwrap()
}
#[test]
fn rejects_zero_period() {
assert!(matches!(OrderFlowImbalance::new(0), Err(Error::PeriodZero)));
}
#[test]
fn accessors_and_metadata() {
let ofi = OrderFlowImbalance::new(20).unwrap();
assert_eq!(ofi.period(), 20);
assert_eq!(ofi.warmup_period(), 21);
assert_eq!(ofi.name(), "OrderFlowImbalance");
assert!(!ofi.is_ready());
}
#[test]
fn first_snapshot_is_none() {
let mut ofi = OrderFlowImbalance::new(2).unwrap();
assert_eq!(ofi.update(book(100.0, 5.0, 101.0, 4.0)), None);
}
#[test]
fn empty_book_side_is_none() {
// A book with no levels on a side (only constructible via
// `new_unchecked`, since `OrderBook::new` rejects empty sides) carries
// no best-level information and emits `None` without advancing state.
let mut ofi = OrderFlowImbalance::new(2).unwrap();
let empty = OrderBook::new_unchecked(vec![], vec![]);
assert_eq!(ofi.update(empty), None);
// A real book afterwards still seeds the reference (state untouched).
assert_eq!(ofi.update(book(100.0, 5.0, 101.0, 4.0)), None);
}
#[test]
fn rising_bid_adds_positive_flow() {
// period 1. Reference book, then the bid lifts (price up) with size 6:
// Δᵇ = 6 (bid_px > prev), Δᵃ = (ask unchanged px=) ask_sz - ask_sz = 0
// when ask is identical => e = 6.
let mut ofi = OrderFlowImbalance::new(1).unwrap();
ofi.update(book(100.0, 5.0, 101.0, 4.0));
let out = ofi.update(book(100.5, 6.0, 101.0, 4.0)).unwrap();
assert_relative_eq!(out, 6.0, epsilon = 1e-12);
}
#[test]
fn falling_bid_adds_negative_flow() {
// The bid drops in price: Δᵇ = −prev_bid_sz (bid_px < prev) = −5,
// ask identical => Δᵃ = 0 => e = −5.
let mut ofi = OrderFlowImbalance::new(1).unwrap();
ofi.update(book(100.0, 5.0, 101.0, 4.0));
let out = ofi.update(book(99.5, 3.0, 101.0, 4.0)).unwrap();
assert_relative_eq!(out, -5.0, epsilon = 1e-12);
}
#[test]
fn rolling_sum_accumulates() {
let mut ofi = OrderFlowImbalance::new(2).unwrap();
ofi.update(book(100.0, 5.0, 101.0, 4.0));
let a = ofi.update(book(100.5, 6.0, 101.0, 4.0)); // warming (1 event)
assert!(a.is_none());
let b = ofi.update(book(101.0, 2.0, 101.5, 4.0)).unwrap(); // 2 events
// Second event: bid_px 101 > 100.5 => Δᵇ = 2; ask_px 101.5 > 101 =>
// Δᵃ = −prev_ask_sz = −4 => e2 = 2 − (−4) = 6. Sum = 6 + 6 = 12.
assert_relative_eq!(b, 12.0, epsilon = 1e-12);
}
#[test]
fn reset_clears_state() {
let mut ofi = OrderFlowImbalance::new(2).unwrap();
ofi.update(book(100.0, 5.0, 101.0, 4.0));
ofi.update(book(100.5, 6.0, 101.0, 4.0));
ofi.update(book(101.0, 2.0, 101.5, 4.0));
assert!(ofi.is_ready());
ofi.reset();
assert!(!ofi.is_ready());
assert_eq!(ofi.update(book(100.0, 5.0, 101.0, 4.0)), None);
}
#[test]
fn batch_equals_streaming() {
let books: Vec<OrderBook> = (0..30)
.map(|i| {
let f = f64::from(i);
book(
100.0 + (f * 0.3).sin(),
5.0 + (f * 0.5).cos().abs(),
101.0 + (f * 0.3).sin(),
4.0 + (f * 0.4).sin().abs(),
)
})
.collect();
let batch = OrderFlowImbalance::new(10).unwrap().batch(&books);
let mut b = OrderFlowImbalance::new(10).unwrap();
let streamed: Vec<_> = books.iter().map(|x| b.update(x.clone())).collect();
assert_eq!(batch, streamed);
}
}