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订单流分析工具，计算订单流不平衡指标、识别买卖压力和大单交易。适用于量化金融教学与微观结构概念演示；基于简化盘口模型，不适用于实盘交易决策或高频策略。
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| name | order-flow-analysis |
| description | 订单流分析工具，计算订单流不平衡指标、识别买卖压力和大单交易。适用于量化金融教学与微观结构概念演示；基于简化盘口模型，不适用于实盘交易决策或高频策略。 |
| version | 1.0.0 |
| author | wangyi |
订单流分析：通过分析买卖盘口数据和成交记录，计算订单流不平衡指标，识别买卖压力和大单交易。
📌 说明：本工具基于简化模型实现，仅使用 Python 标准库。结果仅供学习参考，不构成投资建议或交易依据。
calc_ofi(trades)计算订单流不平衡（Order Flow Imbalance）。 必填: trades
calc_buy_sell_pressure(trades)计算买卖压力。 必填: trades
calc_order_book_imbalance(bid_levels, ask_levels)计算盘口不平衡。 必填: bid_levels, ask_levels
detect_large_orders(trades, threshold_std=2.0, min_volume=0)检测大单交易。 必填: trades
calc_vwap_by_side(trades)计算分方向VWAP及价格漂移。 必填: trades
calc_pressure_distribution(trades, price_levels=10)计算价格维度的买卖压力分布。 必填: trades
calc_rolling_ofi(trades, window=50)计算滚动OFI。 必填: trades
run_order_flow_analysis(trades, bid_levels=None, ask_levels=None, large_order_threshold=2.0)运行完整订单流分析。 必填: trades
python scripts/main.py \
--trades <trades> \
--bid-levels <bid_levels> \
--ask-levels <ask_levels> \
--large-order-threshold <large_order_threshold>