Struct KylesLambdaCalculator

pub struct KylesLambdaCalculator { /* private fields */ }

Kyle’s Lambda calculator for market impact coefficient

Kyle’s Lambda (λ) measures the price impact per unit of net order flow. Formula: λ = Δp / Δq where Δp is the price change and Δq is the net volume imbalance

Implementations

impl KylesLambdaCalculator

pub fn new(window_size: usize, interval_duration_ms: u64) -> Self

Create a new Kyle’s Lambda calculator

Arguments

• window_size - Number of intervals to use for rolling calculation
• interval_duration_ms - Duration of each interval in milliseconds

pub fn update_trade(&mut self, trade: &TradeTick) -> Option<f64>

Update with a new trade

pub fn add_trade(&mut self, trade: &TradeTick)

Alias for update_trade() to maintain backward compatibility

pub fn calculate(&self) -> f64

Alias for calculate_lambda() to maintain backward compatibility

pub fn get_lambda(&self) -> Option<f64>

Get current Kyle’s Lambda estimate

pub fn reset(&mut self)

Reset the calculator

Trait Implementations

impl Clone for KylesLambdaCalculator

fn clone(&self) -> KylesLambdaCalculator

Returns a duplicate of the value.

const fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for KylesLambdaCalculator

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.