rusty_backtest::features::tardis_advanced

Struct TardisFeatureVector

pub struct TardisFeatureVector {Show 14 fields
    pub exponential_mean: f64,
    pub exponential_std: f64,
    pub exponential_var: f64,
    pub price_impact: f64,
    pub harmonic_frequency: f64,
    pub harmonic_amplitude: Decimal,
    pub harmonic_phase: f64,
    pub burst_intensity: f64,
    pub volume_price_sensitivity: f64,
    pub limit_market_ratio: Option<Decimal>,
    pub market_aggressiveness: Decimal,
    pub price_entropy: f64,
    pub unknown_order_count: u64,
    pub total_order_count: u64,
}

Expand description

Feature vector containing all calculated features

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§exponential_mean: f64

Exponentially weighted mean price

§exponential_std: f64

Exponentially weighted standard deviation

§exponential_var: f64

Exponentially weighted variance

§price_impact: f64

Rolling Kyle’s lambda (permanent price impact)

§harmonic_frequency: f64

Detected harmonic oscillation frequency

§harmonic_amplitude: Decimal

Detected harmonic oscillation amplitude

§harmonic_phase: f64

Detected harmonic oscillation phase

§burst_intensity: f64

Trading burst intensity (volume volatility)

§volume_price_sensitivity: f64

Sensitivity of price to volume changes

§limit_market_ratio: Option<Decimal>

Ratio of limit orders to market orders (None if no market orders)

§market_aggressiveness: Decimal

Proportion of market orders to total known orders

§price_entropy: f64

Shannon entropy of price distribution

§unknown_order_count: u64

Number of orders with unknown type (new field)

§total_order_count: u64

Total number of orders processed

Trait Implementations§

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impl Clone for TardisFeatureVector

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fn clone(&self) -> TardisFeatureVector

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 TardisFeatureVector

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for TardisFeatureVector

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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