Struct StatisticalArb 

pub struct StatisticalArb {
    pub symbol_a: String,
    pub symbol_b: String,
    pub hedge_ratio: f64,
    pub spread: f64,
    pub z_score: f64,
    pub signal: ArbSignal,
}

Statistical arbitrage pair with z-score based signalling.

Fields

symbol_a: String

First leg symbol.

symbol_b: String

Second leg symbol.

hedge_ratio: f64

Hedge ratio (units of B per unit of A).

spread: f64

Current spread value: price_a - hedge_ratio * price_b.

z_score: f64

Z-score of the current spread relative to its historical distribution.

signal: ArbSignal

Trading signal derived from the z-score.

Trait Implementations

impl Clone for StatisticalArb

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for StatisticalArb

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

Formats the value using the given formatter.

impl PartialEq for StatisticalArb

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for StatisticalArb