Struct KyleLambda 

pub struct KyleLambda { /* private fields */ }

Kyle’s Lambda — estimated market impact coefficient.

Estimates how much the price moves per unit of signed order flow (volume imbalance). Computed as OLS slope of price change on signed volume:

λ = Cov(ΔP, ΔQ) / Var(ΔQ)

where ΔQ is signed volume (positive = buy-initiated, negative = sell-initiated).

Returns None until the window is full or if signed volume has zero variance.

Example

use fin_primitives::microstructure::KyleLambda;
use rust_decimal_macros::dec;

let mut kl = KyleLambda::new(4).unwrap();
kl.update(dec!(0.10), dec!(200)).unwrap();
kl.update(dec!(0.05), dec!(100)).unwrap();
kl.update(dec!(-0.08), dec!(-150)).unwrap();
kl.update(dec!(0.12), dec!(250)).unwrap();
let lambda = kl.get(); // Some(estimated lambda)

Implementations

impl KyleLambda

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

Constructs a KyleLambda estimator.

Errors

Returns FinError::InvalidPeriod if window < 2.

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

Records a price change and signed volume observation.

• price_change: close_t - close_{t-1} (can be negative).
• signed_volume: net order flow (positive = buy pressure, negative = sell pressure).

Errors

Returns FinError::InvalidInput if either value is non-finite.

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

Returns the estimated Kyle’s lambda, or None until 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 estimator.

Trait Implementations

impl Debug for KyleLambda

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

Formats the value using the given formatter.