Struct RollImpliedSpread 

pub struct RollImpliedSpread { /* private fields */ }

Roll’s Implied Spread estimator.

Estimates the effective bid-ask spread from serial autocorrelation of price changes:

S = 2 * sqrt(-Cov(ΔP_t, ΔP_{t-1})) when Cov < 0.

When Cov >= 0 (no autocorrelation signal), returns 0.0 (no spread implied).

Returns None until window + 1 price changes have been observed.

Example

use fin_primitives::microstructure::RollImpliedSpread;
use rust_decimal_macros::dec;

let mut roll = RollImpliedSpread::new(10).unwrap();
// Alternating returns simulate bid-ask bounce
for i in 0..11 {
    let ret = if i % 2 == 0 { dec!(0.05) } else { dec!(-0.05) };
    roll.update(ret).unwrap();
}
let spread = roll.get();
assert!(spread.is_some());

Implementations

impl RollImpliedSpread

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

Constructs a RollImpliedSpread estimator.

Errors

Returns FinError::InvalidPeriod if window < 2.

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

Records a price change observation.

Errors

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

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

Returns the Roll implied spread estimate, or None until ready.

Returns 0.0 when the first-order autocovariance is non-negative (no bounce signal).

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 price changes buffered.

pub fn reset(&mut self)

Resets the estimator.

Trait Implementations

impl Debug for RollImpliedSpread

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

Formats the value using the given formatter.