rusty_strategy::vectorized_features

Struct VolumeFeatures

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pub struct VolumeFeatures {
    pub order_imbalance: f64,
    pub order_book_depth: f64,
    pub liquidity_shocks: f64,
    pub order_cancel_estimated_rate: f64,
    pub order_book_imbalance_ratio: f64,
}
Expand description

Batch results for volume-based ML features calculated via SIMD

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§order_imbalance: f64

The order imbalance.

§order_book_depth: f64

The order book depth.

§liquidity_shocks: f64

The liquidity shocks.

§order_cancel_estimated_rate: f64

The estimated rate of order cancellations.

§order_book_imbalance_ratio: f64

The order book imbalance ratio.

Trait Implementations§

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impl Clone for VolumeFeatures

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fn clone(&self) -> VolumeFeatures

Returns a duplicate of the value. Read more
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const fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for VolumeFeatures

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

Formats the value using the given formatter. Read more
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impl Copy for VolumeFeatures

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