OrderFlowImbalanceRegimeDetector

Summary

OrderFlowImbalanceRegimeDetector is RTTA's streaming implementation of: EWMA order-flow imbalance regime detector with buy/sell pressure hysteresis.

Update API

result = rtta.OrderFlowImbalanceRegimeDetector().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

OrderFlowImbalanceRegimeDetector first constructs a scalar market-state metric from the current observation and compact streaming state, then passes that metric through explicit entry/exit hysteresis. The metric is named in the recurrence below; the hysteresis keeps the output stable until the metric crosses the opposite exit band.

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.

\[e_t= \mathbf{1}[bid_t\ge bid_{t-1}]bidSize_t -\mathbf{1}[bid_t\le bid_{t-1}]bidSize_{t-1} -\mathbf{1}[ask_t\le ask_{t-1}]askSize_t +\mathbf{1}[ask_t\ge ask_{t-1}]askSize_{t-1}\]

\[n_t=\frac{e_t}{\max(bidSize_t+askSize_t,\epsilon)}, \qquad q_t=\alpha n_t+(1-\alpha)q_{t-1}\]

\[r_t = \begin{cases} 1, & r_{t-1} \le 0 \text{ and } q_t \ge u_e \\ 0, & r_{t-1} = 1 \text{ and } q_t \le u_x \\ -1, & r_{t-1} \ge 0 \text{ and } q_t \le \ell_e \\ 0, & r_{t-1} = -1 \text{ and } q_t \ge \ell_x \\ r_{t-1}, & \text{otherwise} \end{cases}\]

The entry/exit constants satisfy \(\ell_e < \ell_x \le u_x < u_e\).

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class OrderFlowImbalanceRegimeDetector.

Reference

Background reference