Function adjustOrderFlowResolution

  • adjustOrderFlowResolution(orderflowTrades, tickSize, tickMultiplier): {
        [normalisedPrice: number]: OrderFlowRow;
    }

  • Adjusts the resolution of orderflow data by rebinning price levels based on a specified tick size and multiplier.

    Parameters

    • orderflowTrades: {
          [price: number]: OrderFlowRow;
      }
    • tickSize: number

      The smallest price increment for the instrument.

    • tickMultiplier: number

      A multiplier to adjust the tick size, effectively determining the new bin size for price levels.

    Returns {
        [normalisedPrice: number]: OrderFlowRow;
    }

    A new object with adjusted price levels (normalised prices) as keys and aggregated OrderFlowRow objects as values.

    Example

    const originalData = {
      "100.1": { volSumAsk: 100, volSumBid: 150 },
      "100.2": { volSumAsk: 200, volSumBid: 180 },
      "100.3": { volSumAsk: 150, volSumBid: 120 }
    };
    const adjustedData = adjustOrderFlowResolution(originalData, 0.1, 5);
    // Returns: {
    //   "100": { volSumAsk: 450, volSumBid: 450 }
    // }

    Remarks

    This function is optimised for performance, using a traditional for loop and avoiding unnecessary object creation. It's particularly useful for adjusting the granularity of orderflow data, which can be helpful for analysis at different price resolutions.

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