Depth imbalance

crates/vike-orderflow/src/imbalance.rs holds the depth-imbalance studies over vike_model::L2Book — a book-pressure mechanism from the standard literature, implemented independently. Unlike the trade-fed builders it reads no TradeTick; its input is the reducer described on the data model page.

Two pure functions

depth_imbalance(book, n) is (Σ bidQ − Σ askQ) / (Σ bidQ + Σ askQ) over the top n levels of each side, in [−1, 1]. The header positions it precisely: "the depth-N generalization of L2Book::imbalance (which is the n=1 top-of-book special case, kept where it is)". The sign is bid pressure — +1 all bid, −1 all ask. It returns None if either side is empty or all sizes are zero. An n deeper than the book uses what exists.

weighted_depth_imbalance(book, n) is the same ratio "with every level's size damped by inverse distance to mid": each level contributes w·q with

w = 1 / (1 + d)²,   d = |price − mid| / mid

"so touch depth counts (almost) fully and far depth fades quadratically". It returns None if either side is empty, if the mid is unavailable or non-positive — "Polymarket-style books can sit at 0" — or if all weighted sizes are zero.

The book side of both comes from crates/vike-marketdata/src/orderbook.rs's L2Book::top_n, "the N best (price, qty) on each side (bids high→low, asks low→high)", and L2Book::mid, which is None unless both a best bid and a best ask exist. The module fixes the arithmetic order: "top_n yields bids high→low and asks low→high, and both sums are naive += folds in that order" — so the number is a deterministic function of the book, not of iteration luck.

The tests carry the reference values. Bids (99, 10), (98, 5); asks (101, 10), (102, 15): n = 2 gives (15 − 25) / 40 = −0.25, n = 1 gives 0 and equals L2Book::imbalance. A mirrored book flips the sign exactly, asserted on the bit pattern. And a book whose bid mass sits at the touch while an equal ask mass sits far away reads 0 unweighted and tips positive weighted — the weighting seeing what the plain count cannot.

The tracker

pub struct ImbalanceTracker { /* n, weighted, last */ }

impl ImbalanceTracker {
    pub fn new(n: usize, weighted: bool) -> Self;      // asserts n >= 1
    pub fn update(&mut self, book: &L2Book) -> Option<f64>;
    pub fn last(&self) -> Option<f64>;
}

ImbalanceTracker is "a small streaming wrapper that recomputes on every book update and caches the last GOOD value across momentarily unreadable books (one side empty mid-resync)". update recomputes the chosen variant; a Some result replaces the cache and is returned. A None — the resync flicker where one side is briefly empty — is returned as None but "does NOT wipe last()".

How it is gated

The crate header (crates/vike-orderflow/src/lib.rs) notes that the book-fed studies have no trade-slice batch twin, so instead of the streaming ↔ batch parity the trade builders carry, imbalance is "pure functions/scripted-snapshot gated" — hand-built books with hand-computed answers, including the bounds, the exact sign flip under mirroring, and the cache surviving a one-sided update. The order-to-trade ratio is the other study on the same footing.