rusty_feeder::provider::ext::metrics

Struct MicrostructureSignals

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pub struct MicrostructureSignals {
    pub book_imbalance: f64,
    pub trade_sign_accuracy: f64,
    pub alpha_signal: f64,
    pub momentum: f64,
    pub mean_reversion: f64,
}
Expand description

Microstructure signals for algorithmic trading strategies

Real-time signals derived from order book and trade data that indicate short-term price movements and trading opportunities.

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§book_imbalance: f64

Order book imbalance signal (-1.0 to 1.0, positive = bid heavy)

§trade_sign_accuracy: f64

Accuracy of trade direction predictions (0.0 to 1.0)

§alpha_signal: f64

Short-term alpha generation signal strength

§momentum: f64

Price momentum indicator (-1.0 to 1.0)

§mean_reversion: f64

Mean reversion opportunity signal (0.0 to 1.0)

Trait Implementations§

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impl Clone for MicrostructureSignals

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fn clone(&self) -> MicrostructureSignals

Returns a duplicate of the value. Read more
1.0.0 · Source§

const fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for MicrostructureSignals

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

Formats the value using the given formatter. Read more

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
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