rusty_backtest::features::tardis_features

Struct TradingBurstDetector

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

Bursts in Trading Activity Calculator

Detects periods of heightened trading activity using rolling variance

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impl TradingBurstDetector

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pub fn new(window_size: usize) -> Self

Create a new trading burst detector

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

Add a trade and return the relative volume compared to recent average

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