rusty_backtest::features::order_flow

Struct OrderFlowAnalyzer

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

Order Flow Analyzer for comprehensive order flow metrics

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impl OrderFlowAnalyzer

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

Create new order flow analyzer

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

Process trade tick and update metrics

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pub fn process_orderbook_update( &mut self, prev_book: &OrderBookSnapshot, curr_book: &OrderBookSnapshot, ) -> f64

Process order book update and calculate OFI

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pub fn get_average_ofi(&self) -> f64

Get average OFI over window

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pub fn get_ofi_std(&self) -> f64

Get OFI standard deviation

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