Orderbook Functions

orderbook_depth(symbol: string, exchange: string, levels?: number = 20): TimeSeries

//@version=2

define(title="Order Book Depth", position="offchart", axis=true);

timeseries depthData = orderbook_depth(symbol=currentSymbol, exchange=currentExchange, levels=20);

plotBar(value=depthData, width=1, colors=["green", "red"], label=["Bid Depth", "Ask Depth"], desc=["Bid Side Volume", "Ask Side Volume"]);

bid_ask_spread(symbol: string, exchange: string): number

//@version=2

define(title="Bid-Ask Spread", position="offchart", axis=true);

var spreadValue = bid_ask_spread(symbol=currentSymbol, exchange=currentExchange);

// Highlight high spreads
var colorIndex = spreadValue > 0.1 ? 0 : 1;

plotLine(value=spreadValue, width=2, colors=["red", "green"], colorIndex=colorIndex, label=["Spread %"], desc=["Bid-Ask Spread Percentage"]);

liquidity_score(symbol: string, exchange: string): number

//@version=2

define(title="Liquidity Score", position="offchart", axis=true);

var liquidityValue = liquidity_score(symbol=currentSymbol, exchange=currentExchange);

plotLine(value=liquidityValue, width=2, colors=["blue"], label=["Liquidity"], desc=["Market Liquidity Score"]);

//@version=2

define(title="Order Book Analysis", position="offchart", axis=true);

// Get order book data
timeseries depthData = orderbook_depth(symbol=currentSymbol, exchange=currentExchange, levels=50);
var spreadValue = bid_ask_spread(symbol=currentSymbol, exchange=currentExchange);
var liquidityValue = liquidity_score(symbol=currentSymbol, exchange=currentExchange);

// Calculate bid/ask imbalance
var bidVolume = depthData.bid;
var askVolume = depthData.ask;
var imbalance = (bidVolume - askVolume) / (bidVolume + askVolume);

// Color based on imbalance direction
var colorIndex = imbalance > 0 ? 0 : 1;

plotBar(value=imbalance, width=1, colors=["green", "red"], colorIndex=colorIndex, label=["Imbalance"], desc=["Bid/Ask Imbalance"]);