Struct OrderFlowImbalance 

pub struct OrderFlowImbalance { /* private fields */ }

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:

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

Implementations

impl OrderFlowImbalance

pub fn new(period: usize) -> Result<Self>

Construct a new Order Flow Imbalance over the given snapshot window.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for OrderFlowImbalance

fn clone(&self) -> OrderFlowImbalance

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for OrderFlowImbalance

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

Formats the value using the given formatter.

impl Indicator for OrderFlowImbalance

type Input = OrderBook

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, book: OrderBook) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.