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MarketImpact

fin_primitives::execution_cost

Struct MarketImpact 

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pub struct MarketImpact;
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Market impact estimators: linear, square-root, and Almgren-Chriss.

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impl MarketImpact

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pub fn linear_impact(size: f64, volume: f64, impact_bps_per_pct: f64) -> f64

Linear market impact in USD.

impact = size / volume * impact_bps_per_pct / 10_000 * size

where size / volume is the participation rate in [0, 1].

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pub fn sqrt_impact(size: f64, volume: f64, sigma: f64, eta: f64) -> f64

Square-root market impact in USD.

impact = eta * sigma * sqrt(size / volume) * size

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pub fn almgren_chriss( size: f64, volume: f64, sigma: f64, gamma: f64, eta: f64, ) -> (f64, f64)

Almgren-Chriss permanent and temporary market impact.

Returns (permanent_impact_usd, temporary_impact_usd).

  • Permanent: gamma * size — persistent price shift
  • Temporary: eta * sigma * sqrt(size / volume) * size

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