Struct MicrostructureFeatures 

pub struct MicrostructureFeatures {
    pub order_imbalance: f64,
    pub trade_intensity: f64,
    pub price_impact_coefficient: f64,
}

Market microstructure-derived features.

Example

use fin_primitives::ml_features::MicrostructureFeatures;

let f = MicrostructureFeatures::compute(1000.0, 800.0, 50, 0.01, 100_000.0);
assert!(f.order_imbalance.abs() <= 1.0);

Fields

order_imbalance: f64

Order imbalance: (bid_vol - ask_vol) / (bid_vol + ask_vol) in [-1, 1].

trade_intensity: f64

Trade intensity: number of trades per unit time (trades/minute equivalent).

price_impact_coefficient: f64

Price impact coefficient: |Δprice| / dollar_volume (Kyle’s λ proxy).

Implementations

impl MicrostructureFeatures

pub fn compute( bid_volume: f64, ask_volume: f64, trade_count: u64, price_move: f64, dollar_volume: f64, ) -> Self

Compute microstructure features.

• bid_volume, ask_volume: cumulative bid/ask volumes at top of book.
• trade_count: number of trades in the observation window.
• price_move: absolute price change over the window.
• dollar_volume: total dollar volume traded over the window.

Trait Implementations

impl Clone for MicrostructureFeatures

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for MicrostructureFeatures

impl Debug for MicrostructureFeatures

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

Formats the value using the given formatter.