Struct MicrostructuralFeatures

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#[repr(align(64))]
pub struct MicrostructuralFeatures {Show 14 fields
    pub timestamp_ns: u64,
    pub ofi_basic: f64,
    pub ofi_weighted: f64,
    pub vpin: f64,
    pub queue_imbalance: f64,
    pub weighted_queue_imbalance: f64,
    pub bid_liquidity: Decimal,
    pub ask_liquidity: Decimal,
    pub liquidity_ratio: f64,
    pub realized_volatility: f64,
    pub price_impact: f64,
    pub spread: Decimal,
    pub mid_price: Decimal,
    pub relative_spread: f64,
}

Expand description

Combined microstructural features

Cache-aligned for efficient batch processing

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§timestamp_ns: u64

Timestamp when these features were calculated in nanoseconds

§ofi_basic: f64

Basic order flow imbalance (level 1 only)

§ofi_weighted: f64

Volume-weighted order flow imbalance across multiple levels

§vpin: f64

Volume-Synchronized Probability of Informed Trading

§queue_imbalance: f64

Imbalance between best bid and ask quantities

§weighted_queue_imbalance: f64

Queue imbalance weighted by depth levels

§bid_liquidity: Decimal

Total bid-side liquidity across tracked levels

§ask_liquidity: Decimal

Total ask-side liquidity across tracked levels

§liquidity_ratio: f64

Ratio of bid to ask liquidity

§realized_volatility: f64

Realized volatility over recent time window

§price_impact: f64

Estimated permanent price impact of trades

§spread: Decimal

Current bid-ask spread

§mid_price: Decimal

Current mid price (average of best bid and ask)

§relative_spread: f64

Spread normalized by mid price (basis points)

Trait Implementations§

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impl Clone for MicrostructuralFeatures

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fn clone(&self) -> MicrostructuralFeatures

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 MicrostructuralFeatures

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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 MicrostructuralFeatures

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fn default() -> MicrostructuralFeatures

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

Auto Trait Implementations§

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impl UnwindSafe for MicrostructuralFeatures

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> CloneToUninit for T
where T: Clone,

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

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T> Instrument for T

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fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided [Span], returning an Instrumented wrapper. Read more

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fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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