Module dual_mode_features

Dual-mode feature calculation for both scalar and vectorized operations. Dual-mode feature calculation framework

Supports both real-time streaming and batch vectorized calculations with identical results guaranteed between modes.

Memory Management Strategy

This module implements a size-based boxing strategy for enum variants containing large data structures. The strategy uses compile-time size calculations and a 1KB threshold to determine when to box variants:

• Stack allocation (< 1KB): Direct storage for optimal cache performance
• Heap allocation (≥ 1KB): Boxed storage to prevent stack overflow

This approach ensures predictable memory allocation patterns while maintaining high performance for small variants and preventing stack overflow for large ones.

Re-exports

pub use DualModeOFI32 as DefaultDualModeOFI;

pub use MarketUpdate32 as DefaultMarketUpdate;

Structs

DualModeBookSlope

Order Book Slope dual-mode implementation Order Book Slope dual-mode implementation.

DualModeKyleLambda

Kyle’s Lambda dual-mode implementation Kyle’s Lambda dual-mode implementation.

DualModeOFI

Order Flow Imbalance (OFI) dual-mode implementation Order Flow Imbalance (OFI) dual-mode implementation.

DualModeVPIN

VPIN (Volume-Synchronized Probability of Informed Trading) dual-mode implementation.

FeatureEngine

Feature calculation engine that manages multiple features

FeatureEngineBuilder

Builder for creating feature engines with common HFT features

MarketData

Market data for batch calculation Market data for batch calculation.

MarketUpdate

Market data for incremental calculation

TradeUpdate

Trade update for incremental calculation Trade update for incremental calculation.

Enums

CalculationMode

The calculation mode for the feature engine.

FeatureValue

Feature value that can hold different types Feature value that can hold different types.

TradeSide

The side of a trade.

Traits

DualModeFeature

Trait for features that support both real-time and batch calculation

Type Aliases

DualModeOFI5

Type alias for a dual-mode OFI feature with 5 levels capacity.

DualModeOFI8

Type alias for a dual-mode OFI feature with 8 levels capacity.

DualModeOFI16

Type alias for a dual-mode OFI feature with 16 levels capacity.

DualModeOFI32

Type alias for a dual-mode OFI feature with 32 levels capacity.

DualModeOFI64

Type alias for a dual-mode OFI feature with 64 levels capacity.

DualModeOFI128

Type alias for a dual-mode OFI feature with 128 levels capacity.

MarketUpdate32

Type alias for a market update with 32 order book levels and 16 trade records capacity.

MarketUpdate64

Type alias for a market update with 64 levels and 32 trades capacity.

MarketUpdate128

Type alias for a market update with 128 levels and 64 trades capacity.