rusty_backtest::features::market_impact

Struct MarketImpactMetrics

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pub struct MarketImpactMetrics {
    pub kyles_lambda: Option<f64>,
    pub instantaneous_impact: f64,
    pub cumulative_temp_impact: f64,
    pub permanent_impact: f64,
}
Expand description

Market impact metrics

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§kyles_lambda: Option<f64>

Kyle’s Lambda coefficient

§instantaneous_impact: f64

Instantaneous price impact of the last trade

§cumulative_temp_impact: f64

Cumulative temporary impact (with decay)

§permanent_impact: f64

Permanent impact component

Trait Implementations§

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impl Clone for MarketImpactMetrics

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fn clone(&self) -> MarketImpactMetrics

Returns a duplicate of the value. Read more
1.0.0 · Source§

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

Performs copy-assignment from source. Read more
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impl Debug for MarketImpactMetrics

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

Formats the value using the given formatter. Read more
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impl Copy for MarketImpactMetrics

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