rusty_backtest::features::tardis_features

Struct AdvancedVPINCalculator

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

Advanced VPIN Calculator with Volume Buckets

Implements Volume-Synchronized Probability of Informed Trading with proper volume bucketing

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impl AdvancedVPINCalculator

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pub fn new(bucket_size: Decimal, window_size: usize) -> Self

Create a new advanced VPIN calculator with specified bucket size and window

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pub fn add_trade(&mut self, trade: &TradeTick)

Add a trade to the VPIN calculation

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pub fn calculate(&self) -> f64

Calculate the average VPIN across all buckets

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