rusty_strategy::microstructure

Struct MLFeatures

pub struct MLFeatures {Show 33 fields
    pub spread: Decimal,
    pub mid_price: Decimal,
    pub order_imbalance: Decimal,
    pub queue_imbalance: Decimal,
    pub liquidity_shocks: Decimal,
    pub order_book_pressure: Decimal,
    pub order_book_entropy: Decimal,
    pub weighted_imbalance: Decimal,
    pub book_slope: Decimal,
    pub vpin: Decimal,
    pub trade_intensity: Decimal,
    pub mid_price_volatility: Decimal,
    pub order_cancel_estimated_rate: Decimal,
    pub order_book_imbalance: Decimal,
    pub order_book_depth: Decimal,
    pub price_volatility: Decimal,
    pub decay_rates: Decimal,
    pub decay_rates_mean: Decimal,
    pub rolling_price_impact: Decimal,
    pub harmonic_oscillations: Decimal,
    pub bursts_in_trading_activity: Decimal,
    pub asymmetry_index: Decimal,
    pub volume_to_price_sensitivity: Decimal,
    pub ofi_simple: Decimal,
    pub ofi_detailed: Decimal,
    pub order_book_curvature: Decimal,
    pub directional_volume_intensity: Decimal,
    pub price_displacement_ratio: Decimal,
    pub trade_size_momentum: Decimal,
    pub imbalance_sensitivity: Decimal,
    pub volatility_sync_order_flow: Decimal,
    pub cumulative_market_order_flow: Decimal,
    pub price_volume_divergence: Decimal,
}

Expand description

Machine learning features container Machine learning features container.

Fields§

§spread: Decimal

The bid-ask spread.

§mid_price: Decimal

The mid-price.

§order_imbalance: Decimal

The order imbalance.

§queue_imbalance: Decimal

The queue imbalance.

§liquidity_shocks: Decimal

The liquidity shocks.

§order_book_pressure: Decimal

The order book pressure.

§order_book_entropy: Decimal

The order book entropy.

§weighted_imbalance: Decimal

The weighted imbalance.

§book_slope: Decimal

The order book slope.

§vpin: Decimal

The Volume-Synchronized Probability of Informed Trading (VPIN).

§trade_intensity: Decimal

The trade intensity.

§mid_price_volatility: Decimal

The mid-price volatility.

§order_cancel_estimated_rate: Decimal

The estimated rate of order cancellations.

§order_book_imbalance: Decimal

The order book imbalance.

§order_book_depth: Decimal

The order book depth.

§price_volatility: Decimal

The price volatility.

§decay_rates: Decimal

The decay rates.

§decay_rates_mean: Decimal

The mean of the decay rates.

§rolling_price_impact: Decimal

The rolling price impact.

§harmonic_oscillations: Decimal

The harmonic oscillations.

§bursts_in_trading_activity: Decimal

The bursts in trading activity.

§asymmetry_index: Decimal

The asymmetry index.

§volume_to_price_sensitivity: Decimal

The volume to price sensitivity.

§ofi_simple: Decimal

The simple Order Flow Imbalance (OFI).

§ofi_detailed: Decimal

The detailed Order Flow Imbalance (OFI).

§order_book_curvature: Decimal

The order book curvature.

§directional_volume_intensity: Decimal

The directional volume intensity.

§price_displacement_ratio: Decimal

The price displacement ratio.

§trade_size_momentum: Decimal

The trade size momentum.

§imbalance_sensitivity: Decimal

The imbalance sensitivity.

§volatility_sync_order_flow: Decimal

The volatility synchronized order flow.

§cumulative_market_order_flow: Decimal

The cumulative market order flow.

§price_volume_divergence: Decimal

The price volume divergence.

Implementations§

impl MLFeatures

pub fn to_vec(&self) -> Vec<f64>

Convert to feature vector for ML models

Trait Implementations§

impl Clone for MLFeatures

fn clone(&self) -> MLFeatures

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

impl Debug for MLFeatures

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for MLFeatures

impl RefUnwindSafe for MLFeatures

impl Send for MLFeatures

impl Sync for MLFeatures

impl Unpin for MLFeatures

impl UnwindSafe for MLFeatures

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

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Gets the TypeId of self. Read more

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where T: ?Sized,

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Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T> Instrument for T

fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided [Span], returning an Instrumented wrapper. Read more

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where T: Policy<B, E>, P: Policy<B, E>,

Create a new Policy that returns [Action::Follow] if either self or other returns Action::Follow. Read more

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