/**
* Order Book Depth Analysis
* calculateOrderBookDepth function
*/
export interface OrderBookDepth {
bidPrice: number
askPrice: number
midPrice: number
spread: number
spreadPercent: number
bidDepth: number
askDepth: number
imbalance: number
supportZones: Array<{ price: number; depth: number; distance: number }>
resistanceZones: Array<{ price: number; depth: number; distance: number }>
liquidityScore: number
timestamp: number
}
/**
* Calculate Order Book Depth (COB) from impact prices
* COB shows current order book depth and support/resistance zones
*/
export function calculateOrderBookDepth(
impactPxs: any[],
currentPrice: number,
_assetCtx: any
): OrderBookDepth | null {
if (!impactPxs || !Array.isArray(impactPxs) || impactPxs.length < 2 || !currentPrice || currentPrice <= 0) {
return null
}
const bidPrice = parseFloat(impactPxs[0] || '0') // Impact price for buy side
const askPrice = parseFloat(impactPxs[1] || '0') // Impact price for sell side
// const midPx = assetCtx.midPx ? parseFloat(assetCtx.midPx) : (bidPrice + askPrice) / 2
if (bidPrice <= 0 || askPrice <= 0) {
return null
}
// Calculate bid/ask spread and imbalance
const spread = askPrice - bidPrice
const spreadPercent = (spread / currentPrice) * 100
const midPrice = (bidPrice + askPrice) / 2
// Calculate imbalance: negative = bearish (more asks), positive = bullish (more bids)
// Use distance from current price to mid price
// CRITICAL FIX: Check for division by zero - currentPrice must be > 0 (already checked at start)
const priceToMid = currentPrice - midPrice
const imbalance = priceToMid !== 0 && currentPrice > 0
? (priceToMid / Math.abs(priceToMid)) * Math.min(1, Math.abs(priceToMid) / currentPrice * 100)
: 0
// Identify support zones (bids below current price)
// Support = large bids below price = strong buying interest
const supportDistance = currentPrice - bidPrice
const supportStrength = supportDistance > 0 ? Math.max(0, 1 - (supportDistance / currentPrice)) : 0
const supportZones = supportDistance > 0 && supportDistance < currentPrice * 0.05 // Within 5% of price
? [{ price: bidPrice, depth: supportStrength, distance: supportDistance }]
: []
// Identify resistance zones (asks above current price)
// Resistance = large asks above price = strong selling interest
const resistanceDistance = askPrice - currentPrice
const resistanceStrength = resistanceDistance > 0 ? Math.max(0, 1 - (resistanceDistance / currentPrice)) : 0
const resistanceZones = resistanceDistance > 0 && resistanceDistance < currentPrice * 0.05 // Within 5% of price
? [{ price: askPrice, depth: resistanceStrength, distance: resistanceDistance }]
: []
// Calculate liquidity score (0-100)
// Higher score = more liquidity (tighter spread, better depth)
const liquidityScore = Math.max(0, Math.min(100, 100 - (spreadPercent * 100)))
return {
bidPrice: bidPrice,
askPrice: askPrice,
midPrice: midPrice,
spread: spread,
spreadPercent: spreadPercent,
bidDepth: supportStrength * 100, // 0-100
askDepth: resistanceStrength * 100, // 0-100
imbalance: imbalance, // -1 to 1 (negative = bearish, positive = bullish)
supportZones: supportZones,
resistanceZones: resistanceZones,
liquidityScore: liquidityScore, // 0-100
timestamp: Date.now()
}
}
