Struct BidAskSpread 

pub struct BidAskSpread { /* private fields */ }

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

Feed bid/ask prices via update. Once window samples have been seen, average_spread_bps returns the rolling average.

Basis points = (ask - bid) / mid * 10_000.

Example

use fin_primitives::microstructure::BidAskSpread;
use rust_decimal_macros::dec;

let mut tracker = BidAskSpread::new(5).unwrap();
for _ in 0..5 {
    tracker.update(dec!(99.90), dec!(100.10)).unwrap();
}
let spread_bps = tracker.average_spread_bps().unwrap();
// spread = 0.20, mid = 100.0 → 20 bps
assert!((spread_bps - 20.0).abs() < 0.01);

Implementations

impl BidAskSpread

pub fn new(window: usize) -> Result<Self, FinError>

Constructs a BidAskSpread tracker.

Errors

Returns FinError::InvalidPeriod if window == 0.

pub fn update(&mut self, bid: Decimal, ask: Decimal) -> Result<(), FinError>

Records a bid/ask quote.

Errors

Returns FinError::InvalidInput if bid >= ask or bid <= 0.

pub fn average_spread_bps(&self) -> Option<f64>

Returns the rolling average spread in basis points, or None if not yet ready.

pub fn is_ready(&self) -> bool

Returns true when the window is full.

pub fn window(&self) -> usize

Returns the configured window size.

pub fn sample_count(&self) -> usize

Returns the number of samples buffered.

pub fn reset(&mut self)

Resets the tracker.

Trait Implementations

impl Debug for BidAskSpread

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

Formats the value using the given formatter.