Top Level Bid Ask Ratio

Quick Reference

Property	Value
Dimension	regime
Category	order_flow
Version	v1.0
Output Column	bid_ask_ratio

Ratio of top-N bid depth to top-N ask depth 鈥?measures liquidity asymmetry

Formula

best_bid_size / best_ask_size

CDM Inputs

Column	CDM Table	Description
best_bid_size	cdm_lob_snapshot	Order book snapshot data 鈥?depth levels, bid/ask prices and sizes
best_ask_size	cdm_lob_snapshot	Order book snapshot data 鈥?depth levels, bid/ask prices and sizes

Parameters

This FeatureType has no configurable parameters.

Output

Column: bid_ask_ratio

Ratio of bid to ask depth at top levels

Market Intuition & Trading Rationale

Top-level bid-ask ratio measures liquidity asymmetry at the touch: best_bid_size / best_ask_size. Ratio > 1 means more bid depth 鈥?bullish liquidity skew. Ratio < 1 means more ask depth 鈥?bearish skew. This is the simplest liquidity asymmetry measure 鈥?a single division of the two touch sizes. Unlike depth_imbalance (which is normalized to [-1,1]), the ratio can take any positive value, making it sensitive to extreme asymmetries.

Usage Cases

• Directional skew: ratio > 2 鈫?strong bid dominance (bullish). ratio < 0.5 鈫?strong ask dominance (bearish). Between 0.5鈥? 鈫?roughly balanced.
• Execution side selection: Buy when ratio > 1 (more bid depth to absorb fills). Sell when ratio < 1 (more ask depth).
• context: Used in iceberg_detection pack 鈥?bid-ask ratio anomalies at specific levels can indicate hidden iceberg orders.

YAML Definition

name: top_level_bid_ask_ratio
description: Ratio of top-N bid depth to top-N ask depth 鈥?measures liquidity asymmetry
category: order_flow
dimension: regime
version: v0.9.0 (Beta)
required_inputs:
  - best_bid_size
  - best_ask_size
output_column: bid_ask_ratio
output_description: Ratio of bid to ask depth at top levels
tags:
  - regime
  - liquidity
  - depth
parameters: {}
formula: best_bid_size / best_ask_size