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fix: Improve stacked imbalance detection in orderflow converter

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This commit is contained in:
Joe Schr
2025-01-03 16:30:19 +01:00
parent ea96abecd0
commit 11976f11b0
2 changed files with 22 additions and 19 deletions
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16
tests/data/test_converter_orderflow.py
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@@ -193,8 +193,8 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
assert pytest.approx(results["delta"]) == -20.862
assert pytest.approx(results["min_delta"]) == -54.559999
assert 82.842 == results["max_delta"]
assert results["stacked_imbalances_bid"] == [234.99]
assert results["stacked_imbalances_ask"] == [234.96]
assert results["stacked_imbalances_bid"] == [234.97]
assert results["stacked_imbalances_ask"] == [234.94]
# Repeat assertions for the last row
results = df.iloc[-1]
@@ -586,22 +586,22 @@ def test_stacked_imbalances_multiple_prices():
# Create a sample DataFrame with known imbalances
df = pd.DataFrame(
{
'bid_imbalance': [True, True, True, False, False, True, True, False],
'ask_imbalance': [False, False, True, True, True, False, False, True]
'bid_imbalance': [True, True, True, False, False, True, True, False, True],
'ask_imbalance': [False, False, True, True, True, False, False, True, True]
},
index=[234.95, 234.96, 234.97, 234.98, 234.99, 235.00, 235.01, 235.02]
index=[234.95, 234.96, 234.97, 234.98, 234.99, 235.00, 235.01, 235.02, 235.03]
)
# Test bid imbalances (should return prices in ascending order)
bid_prices = stacked_imbalance(df, "bid", stacked_imbalance_range=2, should_reverse=False)
assert bid_prices == [234.95, 234.96, 234.97, 235.00, 235.01]
assert bid_prices == [234.95, 234.96, 235.00]
# Test ask imbalances (should return prices in descending order)
ask_prices = stacked_imbalance(df, "ask", stacked_imbalance_range=2, should_reverse=True)
assert ask_prices == [235.02, 234.99, 234.98, 234.97]
assert ask_prices == [235.02, 234.98, 234.97]
# Test with higher stacked_imbalance_range
bid_prices_higher = stacked_imbalance(df, "bid", stacked_imbalance_range=3, should_reverse=False)
assert bid_prices_higher == [234.95, 234.96, 234.97]
assert bid_prices_higher == [234.95]