rusty_strategy::dual_mode_features

Struct DualModeVPIN

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

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

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impl DualModeVPIN

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pub const fn new(bucket_size: usize) -> Self

Creates a new DualModeVPIN with the given bucket size.

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impl DualModeFeature for DualModeVPIN

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fn calculate_incremental(&mut self, update: &MarketUpdate) -> FeatureValue

Calculate feature incrementally for real-time trading
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fn calculate_batch(&self, data: &[MarketData]) -> Vec<FeatureValue>

Calculate feature in batch mode for backtesting
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fn name(&self) -> &'static str

Get feature name
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fn reset(&mut self)

Reset internal state

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