TakerBuySellRatio

Aggressive (taker) buy volume divided by taker sell volume — the perpetual-feed analogue of trade imbalance, read straight off the venue's taker-volume fields.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (ratio)
Output range	>= 0; 0 when there is no taker sell volume
Default parameters	none
Warmup period	1
Interpretation	Aggressive order-flow balance

Formula

takerBuySellRatio = takerBuyVolume / takerSellVolume   (0 when sell == 0)

Stateless and O(1). See crates/wickra-core/src/indicators/taker_buy_sell_ratio.rs.

Parameters

None. Construct with TakerBuySellRatio::new().

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose the two fields this indicator reads: update(taker_buy_volume, taker_sell_volume). Python / Node batch accept two equal-length arrays (taker_buy_volume, taker_sell_volume) and return a 1-D array; WASM is streaming-only.

Warmup

warmup_period() == 1; emits on the first tick.

Edge cases

• No taker sells. When taker_sell_volume == 0 the ratio is undefined and the indicator reports 0.0.
• Per-interval volume. Feed the taker volumes the venue aggregated for the interval; the ratio inherits that bucketing.

Examples

Rust

use wickra::{DerivativesTick, Indicator, TakerBuySellRatio};

fn tick(buy: f64, sell: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, 100.0, 100.0, 100.0, 0.0, 0.0, 0.0, buy, sell, 0.0, 0.0, 0)
        .unwrap()
}

let mut tbs = TakerBuySellRatio::new();
assert_eq!(tbs.update(tick(60.0, 40.0)), Some(1.5));

Python

import wickra as ta

tbs = ta.TakerBuySellRatio()
print(tbs.update(60.0, 40.0))  # 1.5

Node

const { TakerBuySellRatio } = require('wickra');

const tbs = new TakerBuySellRatio();
console.log(tbs.update(60, 40)); // 1.5

Interpretation

Taker volume is the flow that crossed the spread — the aggressive side that moves price. A ratio above 1 means buyers are lifting offers faster than sellers are hitting bids; below 1 the reverse. Sustained imbalance confirms the direction of an aggressive move; a flip can precede a turn.

Common pitfalls

• Aggressor, not resting. This measures takers, not the standing book; pair it with order-book imbalance for both sides of the picture.
• Zero reads as 0. No taker sells returns 0.0 by convention, not ∞.

See also

• TradeImbalance — the trade-tape equivalent.
• LongShortRatio — positioning analogue.
• Indicators-Overview — the full taxonomy.