ritmex-bot/src/utils/depth.ts

import type { Depth } from "../exchanges/types";

export type DepthImbalance = "balanced" | "buy_dominant" | "sell_dominant";

export function computeDepthStats(
  depth: Depth,
  levels = 10,
  ratio = 3
): {
  buySum: number;
  sellSum: number;
  skipBuySide: boolean;
  skipSellSide: boolean;
  imbalance: DepthImbalance;
} {
  const topBids = (depth.bids ?? []).slice(0, levels);
  const topAsks = (depth.asks ?? []).slice(0, levels);

  const buySum = topBids.reduce((total, level) => {
    const qty = Number(level?.[1]);
    return Number.isFinite(qty) ? total + qty : total;
  }, 0);

  const sellSum = topAsks.reduce((total, level) => {
    const qty = Number(level?.[1]);
    return Number.isFinite(qty) ? total + qty : total;
  }, 0);

  const skipSellSide = sellSum === 0 || sellSum * ratio < buySum;
  const skipBuySide = buySum === 0 || buySum * ratio < sellSum;

  let imbalance: DepthImbalance = "balanced";
  if (buySum > sellSum * ratio) {
    imbalance = "buy_dominant";
  } else if (sellSum > buySum * ratio) {
    imbalance = "sell_dominant";
  }

  return { buySum, sellSum, skipBuySide, skipSellSide, imbalance };
}