Struct FeatureCalculator

pub struct FeatureCalculator { /* private fields */ }

High-performance feature calculator

Implementations

impl FeatureCalculator

pub fn new(window_size: usize) -> Self

Create new feature calculator

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

Add a trade tick to the internal buffer for feature calculation.

This method maintains a sliding window of trades by:

1. Adding the new trade to the buffer
2. Keeping the buffer size at most 2x the window size
3. When the buffer exceeds 2x window size, it drains the oldest trades (removes window_size trades from the beginning)

This approach ensures we always have enough historical data for feature calculations while limiting memory usage. The 2x window size allows for efficient batch removal instead of removing one trade at a time.

Arguments

• trade - The trade tick to add to the buffer

pub fn add_orderbook(&mut self, snapshot: &OrderBookSnapshot)

Add order book snapshot and calculate features

pub fn on_orderbook( &mut self, snapshot: &OrderBookSnapshot, ) -> OrderBookFeatures

Alias for add_orderbook() to maintain backward compatibility

pub fn on_trade(&mut self, trade: &TradeTick) -> Option<TradeFeatures>

Alias for add_trade() to maintain backward compatibility

pub fn get_features(&self) -> FeatureSnapshot

Get current features based on accumulated data