nautilus_model::orderbook::analysis

Function get_avg_px_qty_for_exposure

Source 
pub fn get_avg_px_qty_for_exposure(
    target_exposure: Quantity,
    levels: &BTreeMap<BookPrice, BookLevel>,
) -> (f64, f64, f64)
Expand description

Calculates the estimated average price for a specified exposure from a set of order book levels.