Struct OrderImbalance 

pub struct OrderImbalance { /* private fields */ }

Rolling buy/sell volume order imbalance measure.

OIR = (V_buy - V_sell) / (V_buy + V_sell) for each bar. Rolling mean over the configured window.

Range: [-1.0, 1.0]. Positive values indicate buy-side pressure.

Example

use fin_primitives::microstructure::OrderImbalance;
use rust_decimal_macros::dec;

let mut oi = OrderImbalance::new(3).unwrap();
oi.update(dec!(600), dec!(400)).unwrap(); // OIR = 0.2
oi.update(dec!(700), dec!(300)).unwrap(); // OIR = 0.4
oi.update(dec!(800), dec!(200)).unwrap(); // OIR = 0.6
let imbalance = oi.get().unwrap();
assert!(imbalance > 0.0, "positive buy pressure: {imbalance}");

Implementations

impl OrderImbalance

pub fn new(window: usize) -> Result<Self, FinError>

Constructs an OrderImbalance tracker.

Errors

Returns FinError if window == 0.

pub fn update( &mut self, buy_volume: Decimal, sell_volume: Decimal, ) -> Result<(), FinError>

Records a volume observation.

• buy_volume: aggressive buy volume for the bar (must be >= 0).
• sell_volume: aggressive sell volume for the bar (must be >= 0).

Errors

Returns FinError::InvalidInput if both volumes are zero or either is negative.

pub fn get(&self) -> Option<f64>

Returns the rolling mean order imbalance ratio, or None until ready.

pub fn is_ready(&self) -> bool

Returns true when the window is full.

pub fn window(&self) -> usize

Returns the configured window size.

pub fn sample_count(&self) -> usize

Returns the number of samples buffered.

pub fn reset(&mut self)

Resets the tracker.

Trait Implementations

impl Debug for OrderImbalance

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.