An object representing orderflow trades, where keys are prices and values are OrderFlowRow objects.
The total volume across all price levels in the orderflow trades.
Configuration object containing the threshold.
An array of high volume nodes, each containing price, total volume, ask volume, and bid volume.
const trades = {
"100.5": { volSumAsk: 500, volSumBid: 600 },
"101.0": { volSumAsk: 300, volSumBid: 400 }
};
const totalVol = 1800;
const config = { threshold: 0.5 };
const highVolNodes = findHighVolumeNodes(trades, totalVol, config);
// Returns: [{ price: 100.5, totalVolume: 1100, askVolume: 500, bidVolume: 600 }]
Generated using TypeDoc
Identifies high volume nodes in orderflow trades based on a specified threshold.