Expand description
Functions related to order book analysis.
Functionsยง
- 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.