Struct SpreadCost 

pub struct SpreadCost;

Bid-ask spread cost estimator.

Example

use fin_primitives::execution_cost::SpreadCost;

// Bid = 99.90, Ask = 100.10  ->  half-spread = 10 bps
let hs = SpreadCost::half_spread_bps(99.90, 100.10);
assert!((hs - 10.0).abs() < 1e-6);

Implementations

impl SpreadCost

pub fn half_spread_bps(bid: f64, ask: f64) -> f64

Half the bid-ask spread expressed in basis points.

half_spread_bps = (ask - bid) / (2 * mid) * 10_000

pub fn spread_cost(size: f64, bid: f64, ask: f64) -> f64

Total spread cost in USD for a given order size.

spread_cost = size * half_spread_bps / 10_000 * mid_price