gryphon.lib.metrics package

Submodules

gryphon.lib.metrics.midpoint module

gryphon.lib.metrics.orderbook_strength module

gryphon.lib.metrics.quote module

gryphon.lib.metrics.volume_available module

Module contents

This package collects code for calculating various features of market data in a single place. These metrics can be used in machine learning, in dashboards, or directly in strategies. Examples are: the midpoint of an orderbook, or the strength of the bid in an orderbook at any given depth.

Much of this code use to reside in exchange.base, but it’s far outgrown it’s place there.