Order Flow Imbalance

Intuição

O Order Flow Imbalance aproxima desequilíbrio de fluxo usando o volume e o sinal do retorno, produzindo um indicador normalizado em [-1, 1].

Definição

Em uma janela n:

• s_t = sign(r_t)
• OFI = sum(volume * s) / sum(volume)

Uso

from quantmaster.features.volume import order_flow_imbalance

df["ofi_20"] = order_flow_imbalance(df, window=20)

API

Source code in src/quantmaster/features/volume.py

def order_flow_imbalance(
    data: pd.DataFrame,
    *,
    window: int = 20,
    price_col: str = "close",
    volume_col: str = "volume",
    log_returns: bool = True,
) -> pd.Series:
    window = validate_positive_int(window, name="window")
    validate_columns(data, required=[price_col, volume_col])

    price = get_price_series(data, price_col=price_col).astype(float)
    volume = pd.to_numeric(data[volume_col], errors="coerce").astype(float)

    price = price.where(price > 0)
    volume = volume.where(volume > 0)

    if log_returns:
        rets = np.log(price).diff()
    else:
        rets = price.pct_change()

    s = np.sign(rets)
    s = s.where(s != 0.0, 0.0)

    buy_sell = (volume * s).rolling(window).sum()
    total = volume.rolling(window).sum()
    out = (buy_sell / total.where(total > 0)).clip(lower=-1.0, upper=1.0)
    out.name = f"order_flow_imbalance_{window}"
    return out