quantlab.dataset.nbbo.resample.snapshot_derived_variables#

quantlab.dataset.nbbo.resample.snapshot_derived_variables()[source]#

Return the expressions deriving mid, spread_bps and imbalance.

They read a bar’s snapshot columns bid, ask, spread, bid_size and ask_size; a null input gives a null output. Every NBBO bar panel derives these three the same way, whether it resamples records here or reads bars built elsewhere.

Returns:

list of pl.Expr: mid, spread_bps and imbalance, in that order.

Examples

>>> pl.DataFrame({
...     "bid": [100.0], "ask": [100.2], "spread": [0.2],
...     "bid_size": [300.0], "ask_size": [100.0],
... }).select(snapshot_derived_variables()).row(0)
(100.1, 19.980019980019982, 0.5)