About this question
Medium · data_manipulation · Quant Researcher interview question · market_microstructure, pandas, feature_engineering, quant
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