Summary
OrderFlowImbalance is RTTA's streaming implementation of: Quote-level best bid/ask price and size change pressure over a rolling update window.
Update API
result = rtta.OrderFlowImbalance().update(bid_price, bid_size, ask_price, ask_size)
The update(...) call consumes one observation using bid_price, bid_size, ask_price, ask_size. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
OrderFlowImbalance maintains rolling extrema, ranges, or envelopes. The C++ state updates the relevant window/range statistics once per input sample.
Recurrence
Let \(z_t = (bid_price_t, bid_size_t, ask_price_t, ask_size_t)\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class OrderFlowImbalance.