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Orderbook Explorer

This runs the accelerator's orderbook analytics (ported from lib/orderbook.py): best bid/ask, spread, mid, depth, imbalance and VWAP. Edit the book and watch every metric recompute.

1. Order book

Bid price

Volume

Ask price

Volume

2. Metrics

–

Spread

–

Mid

–

Spread bps

–

Imbalance

–

VWAP (book)

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Included with Intraday Orderbook Analytics Accelerator

The complete Intraday Orderbook Analytics Accelerator package includes:

Databricks Asset Bundle
Three SQL steps
A dependency-free analytics library

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