rusty_backtest::features

Struct OrderBookFeatures

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pub struct OrderBookFeatures {
    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 ofi_basic: f64,
}
Expand description

Order book-based features calculated from limit order book snapshots.

These features capture the state and dynamics of the order book, providing insights into liquidity, price pressure, and market microstructure that are essential for high-frequency trading strategies.

Fields§

§bid_liquidity: f64

Total bid-side liquidity - Sum of all bid quantities

§ask_liquidity: f64

Total ask-side liquidity - Sum of all ask quantities

§spread_bps: f64

Bid-ask spread in basis points - Relative spread normalized by mid price

§mid_price: f64

Mid price - Average of best bid and best ask prices

§queue_imbalance: f64

Queue imbalance - Imbalance between best bid and ask quantities

§book_depth_ratio: f64

Book depth ratio - Ratio of bid to ask depth, indicating relative liquidity

§bid_slope: f64

Bid slope - Rate of price decay on bid side, indicating buying pressure

§ask_slope: f64

Ask slope - Rate of price increase on ask side, indicating selling pressure

§orderbook_skew: f64

Order book skew - Asymmetry in the order book shape

§orderbook_imbalance: f64

Order book imbalance - Overall imbalance between bid and ask sides

§weighted_mid_price: f64

Weighted mid price - Mid price weighted by best bid/ask quantities

§ofi_basic: f64

Basic order flow imbalance - Simple OFI calculation from order book changes

Trait Implementations§

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impl Clone for OrderBookFeatures

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fn clone(&self) -> OrderBookFeatures

Returns a duplicate of the value. Read more
1.0.0 · Source§

const fn clone_from(&mut self, source: &Self)

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

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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 OrderBookFeatures

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fn default() -> OrderBookFeatures

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

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