Order Book Imbalance Calculation - Quant Researcher Interview Question
Difficulty: Medium
Category: data_manipulation
Asked at: Jump Trading, Tower Research, Citadel Securities, Optiver, HRT
Topics: market_microstructure, pandas, feature_engineering, quant
Problem Description
Order Book Imbalance (OBI) quantifies the disparity between buy and sell pressure in a Limit Order Book (LOB) and serves as a predictive feature for short-term price movements. By analyzing the volume at various depth levels, quantitative researchers can gauge market sentiment and potential liquidity shifts. This metric is fundamental in high-frequency trading strategies for signal generation and execution logic.
Task
Implement a function solution(book_data, depth) that calculates the Order Boo
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