rusty_feeder::provider::ext::metrics

Struct TradingMetrics

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pub struct TradingMetrics {
    pub order_flow_imbalance: f64,
    pub vwap: Decimal,
    pub twap: Decimal,
    pub microstructure_signals: MicrostructureSignals,
    pub execution_quality: ExecutionQualityMetrics,
}
Expand description

Trading-specific performance metrics for strategy analysis

Advanced metrics for evaluating trading performance including price benchmarks and microstructure signal analysis.

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§order_flow_imbalance: f64

Order flow imbalance indicator (-1.0 to 1.0)

§vwap: Decimal

Volume-weighted average price over measurement period

§twap: Decimal

Time-weighted average price over measurement period

§microstructure_signals: MicrostructureSignals

Collection of microstructure trading signals

§execution_quality: ExecutionQualityMetrics

Execution quality measurements

Trait Implementations§

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impl Clone for TradingMetrics

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fn clone(&self) -> TradingMetrics

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 TradingMetrics

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

Formats the value using the given formatter. Read more

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