rusty_backtest::features::tardis_advanced

Struct OrderTypeTracker

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pub struct OrderTypeTracker { /* private fields */ }
Expand description

Order Type Tracker for limit/market order ratios

Tracks market aggressiveness via order type ratios.

Warning: Order type inference from trade data is inherently unreliable since most exchanges don’t provide order type information in their trade feeds. This tracker should be used for statistical analysis only, not for critical trading decisions.

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impl OrderTypeTracker

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pub const fn new() -> Self

Create a new order type tracker

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pub const fn add_order(&mut self, order_type: OrderType)

Add an order to the tracker

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pub fn limit_to_market_ratio(&self) -> Option<Decimal>

Calculate limit to market order ratio

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pub fn market_aggressiveness(&self) -> Decimal

Calculate market aggressiveness (market orders / total known orders)

Note: This calculation excludes unknown orders since their type cannot be determined. Only considers orders classified as either limit or market.

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pub const fn reset(&mut self)

Reset counters

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pub const fn get_counts(&self) -> (u64, u64, u64)

Get order counts (limit, market, unknown)

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pub const fn get_known_counts(&self) -> (u64, u64)

Get only limit and market order counts for backward compatibility

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pub const fn unknown_count(&self) -> u64

Get the number of unknown orders

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pub const fn total_count(&self) -> u64

Get the total number of orders (including unknown)

Trait Implementations§

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impl Default for OrderTypeTracker

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fn default() -> Self

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

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