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TotalExecutionCost

fin_primitives::execution_cost

Struct TotalExecutionCost

pub struct TotalExecutionCost;

Expand description

Computes the full execution cost breakdown for an order.

§Example

use fin_primitives::execution_cost::{TotalExecutionCost, ExecutionCostModel};

let breakdown = TotalExecutionCost::compute(
    1000.0,   // size
    150.0,    // price
    &ExecutionCostModel::Proportional(5.0), // 5 bps commission
    149.90,   // bid
    150.10,   // ask
    1_000_000.0, // daily volume
    0.02,     // sigma (daily vol)
);
assert!(breakdown.total_usd > 0.0);

Implementations§

impl TotalExecutionCost

pub fn compute( size: f64, price: f64, commission_model: &ExecutionCostModel, bid: f64, ask: f64, volume: f64, sigma: f64, ) -> ExecutionCostBreakdown

Compute the total execution cost breakdown.

Uses the square-root (Kyle-style) model for market impact with eta = 0.1.

Auto Trait Implementations§

impl Freeze for TotalExecutionCost

impl RefUnwindSafe for TotalExecutionCost

impl Send for TotalExecutionCost

impl Sync for TotalExecutionCost

impl Unpin for TotalExecutionCost

impl UnsafeUnpin for TotalExecutionCost

impl UnwindSafe for TotalExecutionCost

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

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impl<T> Borrow<T> for T
where T: ?Sized,

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impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

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impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = !

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, !>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.