rusty_backtest::features

Struct TradeFeatures

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pub struct TradeFeatures {
    pub vwap: f64,
    pub trade_intensity: f64,
    pub buy_sell_ratio: f64,
    pub large_trade_ratio: f64,
    pub order_flow_imbalance: f64,
}
Expand description

Trade-based features calculated from market trade data.

These features capture various aspects of trading activity and order flow dynamics that are commonly used in HFT strategies for predicting short-term price movements.

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§vwap: f64

Volume-weighted average price (VWAP) - The average price weighted by volume

§trade_intensity: f64

Trade intensity - Number of trades per unit time, indicating market activity level

§buy_sell_ratio: f64

Buy/sell ratio - Ratio of buy volume to sell volume, indicating directional pressure

§large_trade_ratio: f64

Large trade ratio - Proportion of volume from large trades, indicating institutional activity

§order_flow_imbalance: f64

Order flow imbalance - Net directional flow (buy volume - sell volume)

Trait Implementations§

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impl Clone for TradeFeatures

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fn clone(&self) -> TradeFeatures

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 TradeFeatures

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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 TradeFeatures

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fn default() -> TradeFeatures

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

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