Struct FeatureEngineBuilder

pub struct FeatureEngineBuilder { /* private fields */ }

Builder for creating feature engines with common HFT features

Implementations

impl FeatureEngineBuilder

pub fn new(mode: CalculationMode) -> Self

Creates a new FeatureEngineBuilder with the given calculation mode.

pub fn with_ofi(self, window_size: usize, capacity: usize) -> Self

Add OFI feature with configurable capacity

This method allows you to specify both the window size and the capacity for the order book levels. The capacity determines how many bid/ask levels can be stored inline without heap allocation.

Arguments

• window_size - The size of the rolling window for OFI calculation
• capacity - The maximum number of order book levels to store inline

Supported Capacities

Common capacities are optimized for specific use cases:

• 5: Top-of-book strategies
• 8: Lightweight strategies
• 16: Compact strategies
• 32: Standard market making (default)
• 64: Deep market making
• 128: Full depth analysis

Examples

// Default capacity (32)
let engine = FeatureEngineBuilder::new(CalculationMode::RealTime)
    .with_ofi(10, 32)
    .build();

// High-frequency market maker needing more levels
let engine = FeatureEngineBuilder::new(CalculationMode::RealTime)
    .with_ofi(10, 64)
    .build();

pub fn with_ofi_default(self, window_size: usize) -> Self

Add OFI feature with default capacity (32) for backward compatibility

This is a convenience method that uses the default capacity of 32 levels. For custom capacities, use with_ofi(window_size, capacity) instead.

pub fn with_ofi_5(self, window_size: usize) -> Self

Add OFI feature with 5 levels capacity (top-of-book strategies)

pub fn with_ofi_8(self, window_size: usize) -> Self

Add OFI feature with 8 levels capacity (lightweight strategies)

pub fn with_ofi_16(self, window_size: usize) -> Self

Add OFI feature with 16 levels capacity (compact strategies)

pub fn with_ofi_32(self, window_size: usize) -> Self

Add OFI feature with 32 levels capacity (standard market making)

pub fn with_ofi_64(self, window_size: usize) -> Self

Add OFI feature with 64 levels capacity (deep market making)

pub fn with_ofi_128(self, window_size: usize) -> Self

Add OFI feature with 128 levels capacity (full depth analysis)

pub fn with_vpin(self, bucket_size: usize) -> Self

Add VPIN feature

pub fn with_kyle_lambda(self, window_size: usize) -> Self

Add Kyle’s Lambda feature

pub fn with_book_slope(self, depth: usize) -> Self

Add Order Book Slope feature

pub fn build(self) -> FeatureEngine

Build the feature engine