Module features

Advanced Microstructural Feature Engine

High-performance implementation of microstructural features for HFT/MFT strategies. Based on patterns from KRX A3B6G7 and Binance Tardis reference implementations.

Re-exports

pub use asymmetry::AsymmetryIndexCalculator;

pub use asymmetry::AsymmetryMetrics;

pub use asymmetry::MultiTimeframeAsymmetry;

pub use asymmetry::calculate_asymmetry_index;

pub use liquidity::LiquidityAnalyzer;

pub use liquidity::calculate_liquidity_shocks;

pub use market_impact::KylesLambdaCalculator;

pub use market_impact::MarketImpactAnalyzer;

pub use market_impact::MarketImpactMetrics;

pub use order_flow::OrderFlowAnalyzer;

pub use order_flow::calculate_ofi;

pub use order_flow::calculate_vpin;

pub use queue::QueueAnalyzer;

pub use queue::calculate_queue_imbalance;

pub use tardis_advanced::HarmonicOscillator;

pub use tardis_advanced::HarmonicResult;

pub use tardis_advanced::OrderType;

pub use tardis_advanced::OrderTypeTracker;

pub use tardis_advanced::TardisAdvancedFeatures;

pub use tardis_advanced::TardisConfig;

pub use tardis_advanced::TardisFeatureVector;

pub use tardis_features::AdvancedVPINCalculator;

pub use tardis_features::ExponentialDecayCalculator;

pub use tardis_features::PriceEntropyCalculator;

pub use tardis_features::PriceRunCalculator;

pub use tardis_features::RelativeTickVolumeCalculator;

pub use tardis_features::RollingPriceImpactCalculator;

pub use tardis_features::TradingBurstDetector;

pub use tardis_features::VolumePriceSensitivityCalculator;

pub use tardis_features::calculate_depth_weighted_ofi;

pub use tardis_features::calculate_liquidity_shock_ratio;

pub use tardis_features::calculate_multi_level_ofi_detailed;

pub use tardis_features::calculate_multi_level_queue_imbalance;

pub use tardis_features::calculate_order_book_depth;

pub use tardis_features::calculate_order_book_slope;

pub use tardis_features::calculate_order_cancel_rate;

pub use tardis_features::calculate_relative_spread;

pub use tardis_features::calculate_volume_weighted_ofi;

pub use tardis_features::calculate_weighted_order_imbalance;

pub use volatility::VolatilityEstimator;

pub use volatility::calculate_realized_volatility;

Modules

asymmetry

Asymmetry Index for Order Book Skewness Analysis

liquidity

Liquidity Analysis - Market depth and liquidity metrics

market_impact

Market Impact Analysis

order_flow

Order Flow Analysis - High-performance implementation of OFI and VPIN

queue

Queue Analysis - Queue imbalance and position modeling

tardis_advanced

Advanced Tardis Features - Missing Implementations

tardis_features

Advanced Microstructural Features from Binance Tardis L2 Structure

volatility

Volatility Analysis - High-frequency volatility estimation

Structs

FeatureCalculator

High-performance feature calculator

FeatureSnapshot

Snapshot of all calculated features at a point in time

Level

L2 Level data for feature calculation

MicrostructuralFeatures

Combined microstructural features

OrderBookFeatures

Order book-based features calculated from limit order book snapshots.

OrderBookSnapshot

Multi-level order book snapshot

TradeFeatures

Trade-based features calculated from market trade data.

TradeTick

Trade tick for feature calculation

Enums

FeatureError

Error type for feature calculation

TradeSide

Side of the trade indicating the aggressor/taker

Type Aliases

FeatureResult

Result type for feature calculations