rusty_backtest::features::order_flow

Struct VPINCalculator

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

High-performance VPIN calculation with rolling window

Optimized version using circular buffer for continuous VPIN computation without reallocating memory.

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impl VPINCalculator

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pub fn new(bucket_size: usize) -> Self

Create new VPIN calculator with specified bucket size

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

Add trade and get updated VPIN value

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pub fn calculate(&self) -> f64

Alias for calculate_current_vpin() to maintain backward compatibility

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