rusty_backtest::features::tardis_features

Struct RollingPriceImpactCalculator

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pub struct RollingPriceImpactCalculator { /* private fields */ }
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Rolling Price Impact Calculator

Measures how volume moves price over a rolling window

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impl RollingPriceImpactCalculator

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pub fn new(window_size: usize) -> Self

Create a new rolling price impact calculator

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pub fn add_trade(&mut self, trade: &TradeTick) -> f64

Add a trade and calculate Kyle’s lambda (price impact coefficient)

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