Struct OrderBookImbalanceTopN 

pub struct OrderBookImbalanceTopN { /* private fields */ }

Order-Book Imbalance aggregated over the top-N levels of each side.

Generalises crate::OrderBookImbalanceTop1 to a configurable depth: it sums the resting size of the best levels bids and the best levels asks and compares them:

bidDepth  = Σ size of the best `levels` bids
askDepth  = Σ size of the best `levels` asks
imbalance = (bidDepth − askDepth) / (bidDepth + askDepth)

If a side has fewer than levels levels, all available levels are summed. The output lies in [−1, +1]; a book with zero size across the summed levels yields 0.

Input = OrderBook, Output = f64. Stateless; ready after the first snapshot.

Example

use wickra_core::{Indicator, Level, OrderBook, OrderBookImbalanceTopN};

let book = OrderBook::new(
    vec![Level::new(100.0, 2.0).unwrap(), Level::new(99.0, 1.0).unwrap()],
    vec![Level::new(101.0, 1.0).unwrap(), Level::new(102.0, 1.0).unwrap()],
)
.unwrap();
let mut obi = OrderBookImbalanceTopN::new(2).unwrap();
assert_eq!(obi.update(book), Some(0.2)); // (3 − 2) / (3 + 2)

Implementations

impl OrderBookImbalanceTopN

pub fn new(levels: usize) -> Result<OrderBookImbalanceTopN, Error>

Construct a top-N imbalance indicator.

Errors

Returns Error::PeriodZero if levels is zero.

pub fn levels(&self) -> usize

The configured number of levels summed per side.

Trait Implementations

impl Clone for OrderBookImbalanceTopN

fn clone(&self) -> OrderBookImbalanceTopN

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookImbalanceTopN

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

Formats the value using the given formatter.

impl Indicator for OrderBookImbalanceTopN

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.