Class BookAnalytics

java.lang.Object
com.quantfinlib.orderbook.BookAnalytics
public final class BookAnalytics extends Object
Spread, depth and liquidity analytics over an OrderBook: quoted spread, size-weighted microprice, depth imbalance, depth-within-bps, and non-destructive book sweep simulation (VWAP-to-fill and impact of a large marketable order).

  • Nested Class Summary

    Nested Classes
    Modifier and Type
    Class
    Description
    static final record 
    BookAnalytics.SweepResult
    Result of simulating a sweep: what a marketable order of that size would pay.

  • Method Summary

    Modifier and Type
    Method
    Description
    static long
    depthWithinBps(OrderBook book, Side side, double bps)
    Resting quantity on a side priced within bps of the mid.
    static double
    imbalance(OrderBook book, int levels)
    Depth imbalance in [-1, 1] over the top levels: +1 = all bid.
    static double
    microprice(double bid, double ask, double bidSize, double askSize)
     
    static double
    microprice(OrderBook book)
    Size-weighted microprice: I*ask + (1-I)*bid with I = bidSize / (bidSize + askSize) — a better short-horizon fair value than the mid when the book is imbalanced.
    static double
    spreadBps(OrderBook book)
     
    static BookAnalytics.SweepResult
    sweep(OrderBook book, Side takerSide, long quantity)
    Simulates (without mutating the book) sweeping quantity with a marketable order on takerSide: returns achievable fill, VWAP fill price, and impact versus the pre-sweep mid.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Method Details

    • spreadBps

      public static double spreadBps(OrderBook book)

    • microprice

      public static double microprice(OrderBook book)
      Size-weighted microprice: I*ask + (1-I)*bid with I = bidSize / (bidSize + askSize) — a better short-horizon fair value than the mid when the book is imbalanced.

    • microprice

      public static double microprice(double bid, double ask, double bidSize, double askSize)

    • imbalance

      public static double imbalance(OrderBook book, int levels)
      Depth imbalance in [-1, 1] over the top levels: +1 = all bid.

    • depthWithinBps

      public static long depthWithinBps(OrderBook book, Side side, double bps)
      Resting quantity on a side priced within bps of the mid.

    • sweep

      public static BookAnalytics.SweepResult sweep(OrderBook book, Side takerSide, long quantity)
      Simulates (without mutating the book) sweeping quantity with a marketable order on takerSide: returns achievable fill, VWAP fill price, and impact versus the pre-sweep mid.