Struct MicrostructureSnapshot 

pub struct MicrostructureSnapshot {
    pub avg_spread_bps: Option<f64>,
    pub order_imbalance: Option<f64>,
    pub kyle_lambda: Option<f64>,
    pub amihud_illiquidity: Option<f64>,
    pub roll_spread: Option<f64>,
}

Aggregated snapshot of all available microstructure metrics for a symbol.

Each field is Some if the underlying tracker has enough data (window full), or None if still warming up.

Fields

avg_spread_bps: Option<f64>

Rolling average bid-ask spread in basis points.

order_imbalance: Option<f64>

Rolling mean order imbalance ratio [-1, 1].

kyle_lambda: Option<f64>

Kyle’s lambda (price impact per unit of signed order flow).

amihud_illiquidity: Option<f64>

Amihud illiquidity ratio (|return| / volume).

roll_spread: Option<f64>

Roll implied spread (autocovariance-based).

Trait Implementations

impl Clone for MicrostructureSnapshot

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 MicrostructureSnapshot

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

Formats the value using the given formatter.

impl Default for MicrostructureSnapshot

fn default() -> Self

Returns the “default value” for a type.