OrderBookImbalanceFull

Signed depth pressure over the entire posted book — the imbalance of total bid versus total ask size across every level.

Quick reference

Item	Value
Family	Microstructure
Input type	OrderBook — sorted bid/ask depth snapshot
Output type	f64
Output range	[−1, +1]
Default parameters	none
Warmup period	1
Interpretation	Whole-book pressure

Formula

bidDepth = Σ size over all bids
askDepth = Σ size over all asks
obi      = (bidDepth − askDepth) / (bidDepth + askDepth)

Both depths zero → 0. Stateless, O(levels). See crates/wickra-core/src/indicators/ob_imbalance_full.rs.

Parameters

None. Construct with OrderBookImbalanceFull::new().

Inputs / Outputs

Indicator<Input = OrderBook, Output = f64>. Bindings: update(bid_px, bid_sz, ask_px, ask_sz); Python / Node batch over a list of snapshots → 1-D array. WASM streaming-only.

Warmup

warmup_period() == 1.

Edge cases

• Bounded in [−1, +1]; zero total depth → 0.
• Sensitivity depends on how deep your feed publishes the book.

Examples

Rust

use wickra::{Indicator, Level, OrderBook, OrderBookImbalanceFull};

let book = OrderBook::new(
    vec![Level::new(100.0, 1.0).unwrap()],
    vec![Level::new(101.0, 2.0).unwrap(), Level::new(102.0, 1.0).unwrap()],
).unwrap();
// bidDepth 1, askDepth 3 -> (1 − 3) / 4 = −0.5
assert_eq!(OrderBookImbalanceFull::new().update(book).unwrap(), -0.5);

Python

import wickra as ta
print(ta.OrderBookImbalanceFull().update([100.0], [1.0], [101.0, 102.0], [2.0, 1.0]))  # -0.5

Node

const { OrderBookImbalanceFull } = require('wickra');
console.log(new OrderBookImbalanceFull().update([100], [1], [101, 102], [2, 1])); // -0.5

Interpretation

Whole-book imbalance captures resting pressure across every posted level — the slowest, broadest member of the family.

• Positive (→ +1). Total bid depth exceeds total ask depth; a standing upward bias that persists across the book, not just the touch.
• Negative (→ −1). Total ask depth dominates; downward bias.
• Slow but hard to fake. Spoofing the entire book is far costlier than flickering one level, so a sustained full-book tilt is more credible — but it reacts slowly, since deep liquidity rarely trades. Best for position-level bias, not for timing the next tick.

Common pitfalls

• "Full" is venue-defined. Feeds truncate depth differently, so "the whole book" means different things across venues and snapshots. Compare only across identical depth settings.
• Deep liquidity is inert. Size far from the touch may never trade; it can dominate the ratio while having little bearing on the next move. For execution timing prefer Top-1 or TopN.
• Iceberg and hidden orders. The posted book omits hidden size, so the true imbalance can differ from what this measures.

References

• Rama Cont, Arseniy Kukanov, Sasha Stoikov, The Price Impact of Order Book Events, Journal of Financial Econometrics, 2014.
• Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, Martin Gould, Trades, Quotes and Prices, 2018 — limit-order-book dynamics and depth.

See also

• OrderBookImbalanceTop1 — the fastest, touch-only version.
• OrderBookImbalanceTopN — the tunable middle ground.
• DepthSlope — the shape of the resting book, not just its net imbalance.
• Indicators-Overview — the full taxonomy.