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CostModel

fin_primitives::execution

Struct CostModel

pub struct CostModel;

Expand description

Estimates round-trip execution cost for a given order.

§Formula

commission_usd  = commission_per_share * shares
spread_cost_usd = (spread_bps / 10_000) * notional_usd
impact_bps      = impact_coefficient * sqrt(shares / avg_daily_volume) * 10_000
market_impact_usd = (impact_bps / 10_000) * notional_usd
total_cost_usd  = commission_usd + spread_cost_usd + market_impact_usd
cost_bps        = total_cost_usd / notional_usd * 10_000

Implementations§

impl CostModel

pub fn estimate( notional_usd: f64, shares: f64, price: f64, params: &CostParams, ) -> ExecutionCost

Estimates round-trip execution cost for an order of shares at price.

notional_usd = shares * price (passed explicitly to avoid rounding differences).

Auto Trait Implementations§

impl Freeze for CostModel

impl RefUnwindSafe for CostModel

impl Send for CostModel

impl Sync for CostModel

impl Unpin for CostModel

impl UnsafeUnpin for CostModel

impl UnwindSafe for CostModel

Blanket Implementations§

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where T: 'static + ?Sized,

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Performs the conversion.

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Performs the conversion.