Quant Interview Practice Questions

Order Book Imbalance (OBI) quantifies the disparity between buy and sell interest at the best price levels, serving as a fundamental signal in market microstructure analysis. By measuring this pressure, quantitative researchers can estimate short-term price directionality and liquidity dynamics essential for high-frequency trading strategies. Task Implement a function to calculate the Order Book Imbalance signal and its correlation with future price returns. Given time-series data for best bid