rusty_backtest::features::liquidity

Struct LiquidityAnalyzer

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pub struct LiquidityAnalyzer { /* private fields */ }
Expand description

Liquidity analyzer for comprehensive liquidity metrics

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impl LiquidityAnalyzer

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pub fn new(window_size: usize) -> Self

Create new liquidity analyzer

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pub fn process_orderbook_update( &mut self, book: &OrderBookSnapshot, max_levels: usize, )

Process order book update

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pub fn add_shock(&mut self, shock: f64)

Add liquidity shock measurement

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pub fn get_average_liquidity(&self) -> f64

Get average liquidity over window

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pub fn get_liquidity_volatility(&self) -> f64

Get liquidity volatility

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pub fn get_shock_frequency(&self, threshold: f64) -> f64

Get shock frequency (proportion of significant shocks)

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