rusty_feeder::provider::ext::metrics

Struct OrderFlowMetrics

pub struct OrderFlowMetrics {
    pub volume_imbalance: f64,
    pub book_pressure: f64,
    pub trade_intensity: f64,
    pub avg_trade_size: Decimal,
    pub price_volatility: f64,
    pub avg_spread_bps: f64,
    pub max_spread_bps: f64,
    pub market_impact_bps: f64,
}

Expand description

Order flow specific metrics for HFT trading analysis

Captures market microstructure dynamics including volume imbalances, spread analysis, and market impact estimation crucial for HFT strategies.

Fields§

§volume_imbalance: f64

Buy/sell volume imbalance ratio (-1.0 to 1.0, positive = buy pressure)

§book_pressure: f64

Order book pressure ratio (bid volume / ask volume)

§trade_intensity: f64

Trade intensity measured in trades per second

§avg_trade_size: Decimal

Average trade size in base currency

§price_volatility: f64

Price volatility as rolling standard deviation

§avg_spread_bps: f64

Average spread in basis points

§max_spread_bps: f64

Maximum observed spread in basis points

§market_impact_bps: f64

Estimated market impact in basis points

Trait Implementations§

impl Clone for OrderFlowMetrics

fn clone(&self) -> OrderFlowMetrics

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

impl Debug for OrderFlowMetrics

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for OrderFlowMetrics

impl RefUnwindSafe for OrderFlowMetrics

impl Send for OrderFlowMetrics

impl Sync for OrderFlowMetrics

impl Unpin for OrderFlowMetrics

impl UnwindSafe for OrderFlowMetrics

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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where T: ?Sized,

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impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

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

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

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

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impl<T> Instrument for T

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where T: Policy<B, E>, P: Policy<B, E>,

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where T: Policy<B, E>, P: Policy<B, E>,

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type Output = T

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