Module microstructure 

Tick-level microstructure metrics: bid-ask spread, Amihud illiquidity, Kyle’s lambda, Roll implied spread.

Responsibility

Tick-level market microstructure metrics: bid-ask spread, Amihud illiquidity, Kyle’s lambda (market impact coefficient), and Roll’s implied spread.

Guarantees

• Zero panics; all fallible operations return Result<_, FinError>
• All price/quantity inputs use rust_decimal::Decimal for precision
• Rolling windows use VecDeque; no unbounded allocation
• Returns None from get() methods until the window is full

NOT Responsible For

• Order routing, execution, or risk checks
• Persistence

Structs

AmihudIlliquidity

Rolling Amihud Illiquidity ratio: |return| / volume.

BidAskSpread

Rolling average bid-ask spread tracker, expressed in basis points.

HasbrouckShare

Simplified Hasbrouck (1995) information share via variance decomposition.

KyleLambda

Kyle’s Lambda — estimated market impact coefficient.

KyleLambdaEstimate

Kyle’s Lambda estimated via OLS regression of price changes on signed volume.

MicrostructureMetrics

Feeds real-time market data into all microstructure estimators and produces aggregate MicrostructureSnapshots on demand.

MicrostructureSnapshot

Aggregated snapshot of all available microstructure metrics for a symbol.

OrderImbalance

Rolling buy/sell volume order imbalance measure.

PinEstimate

Easley et al. (1996) PIN model parameters estimated via method-of-moments.

RollImpliedSpread

Roll’s Implied Spread estimator.

Enums

TradeSign

Trade direction classification using the Lee-Ready tick test.