Module microstructure

Calculates microstructure features from market data.

Re-exports

pub use MicrostructureCalculator128 as DefaultMicrostructureCalculator;

Structs

MLFeatures

Machine learning features container Machine learning features container.

MicrostructureCalculator

High-performance microstructure calculator for HFT trading features.

TradeFeatures

Trade-based features for tick data analysis

Enums

OrderSide

Order side for trade direction

Type Aliases

MicrostructureCalculator32

Type alias for a microstructure calculator with 32-element capacity.

MicrostructureCalculator64

Type alias for a microstructure calculator with 64-element capacity.

MicrostructureCalculator128

Type alias for a microstructure calculator with 128-element capacity.

MicrostructureCalculator256

Type alias for a microstructure calculator with 256-element capacity.