@state
def level10Diff(price, qty, buy=true, lag=20){
        prevPrice = price.prev()
        left, right = rowAlign(price, prevPrice, how=iif(buy, "bid", "ask"))
        qtyDiff = (qty.rowAt(left).nullFill(0) - qty.prev().rowAt(right).nullFill(0)) 
        amtDiff = rowSum(nullFill(price.rowAt(left), prevPrice.rowAt(right)) * qtyDiff)
        return msum(amtDiff, lag, 1).nullFill(0)
}

timer{
	snapshotTB = loadTable("dfs://TL_Level2", "snapshot")
	res = select SecurityID, TradeTime, level10Diff(BidPrice, BidOrderQty, true, 20) as amtDiff from snapshotTB where date(TradeTime)=2023.02.01 context by SecurityID csort TradeTime
}