rusty_backtest::features::tardis_features

Struct PriceRunCalculator

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

Price Run Calculator

Calculates the proportion of successive price increases over a window

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impl PriceRunCalculator

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pub fn new(window_size: usize) -> Self

Create a new price run calculator with specified window size

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pub fn update(&mut self, snapshot: &OrderBookSnapshot) -> f64

Update with new orderbook snapshot and return the price run ratio

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