rusty_backtest::features

Struct FeatureSnapshot

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pub struct FeatureSnapshot {
Show 24 fields
    pub timestamp: u64,
    pub vwap: f64,
    pub trade_intensity: f64,
    pub buy_sell_ratio: f64,
    pub large_trade_ratio: f64,
    pub order_flow_imbalance: f64,
    pub bid_liquidity: f64,
    pub ask_liquidity: f64,
    pub spread_bps: f64,
    pub mid_price: f64,
    pub queue_imbalance: f64,
    pub book_depth_ratio: f64,
    pub bid_slope: f64,
    pub ask_slope: f64,
    pub orderbook_skew: f64,
    pub orderbook_imbalance: f64,
    pub weighted_mid_price: f64,
    pub vpin: f64,
    pub weighted_queue_imbalance: f64,
    pub ofi: f64,
    pub weighted_ofi: f64,
    pub realized_volatility: f64,
    pub kyles_lambda: f64,
    pub asymmetry_index: f64,

}
Expand description

Snapshot of all calculated features at a point in time

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§timestamp: u64

Timestamp of this snapshot in nanoseconds

§vwap: f64

Volume-weighted average price over the window

§trade_intensity: f64

Number of trades per unit time

§buy_sell_ratio: f64

Ratio of buy trades to sell trades

§large_trade_ratio: f64

Proportion of volume from large trades

§order_flow_imbalance: f64

Net order flow (buy volume - sell volume) normalized

§bid_liquidity: f64

Total quantity on bid side

§ask_liquidity: f64

Total quantity on ask side

§spread_bps: f64

Bid-ask spread in basis points

§mid_price: f64

Current mid price

§queue_imbalance: f64

Imbalance at best bid/ask levels

§book_depth_ratio: f64

Ratio of bid depth to ask depth

§bid_slope: f64

Rate of price decay on bid side

§ask_slope: f64

Rate of price increase on ask side

§orderbook_skew: f64

Asymmetry in order book shape

§orderbook_imbalance: f64

Overall bid-ask imbalance

§weighted_mid_price: f64

Mid price weighted by best level quantities

§vpin: f64

Volume-Synchronized Probability of Informed Trading

§weighted_queue_imbalance: f64

Multi-level weighted queue imbalance

§ofi: f64

Order Flow Imbalance

§weighted_ofi: f64

Volume-weighted OFI

§realized_volatility: f64

Realized volatility estimate

§kyles_lambda: f64

Kyle’s lambda (price impact coefficient)

§asymmetry_index: f64

Market asymmetry index

Trait Implementations§

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impl Clone for FeatureSnapshot

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fn clone(&self) -> FeatureSnapshot

Returns a duplicate of the value. Read more
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const fn clone_from(&mut self, source: &Self)

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

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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 Default for FeatureSnapshot

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fn default() -> FeatureSnapshot

Returns the “default value” for a type. Read more

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

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