Module analysis

Functions related to order book analysis.

Functions

• book_check_integrity
• get_avg_px_for_quantity
  Calculates the estimated average price for a specified quantity from a set of order book levels.
• get_avg_px_qty_for_exposure
  Calculates the estimated average price for a specified exposure from a set of order book levels.
• get_quantity_for_price
  Calculates the estimated fill quantity for a specified price from a set of order book levels and order side.