Trait hftbacktest::backtest::models::QueueModel

pub trait QueueModel<MD>
where
    MD: MarketDepth,
{
    // Required methods
    fn new_order(&self, order: &mut Order, depth: &MD);
    fn trade(&self, order: &mut Order, qty: f32, depth: &MD);
    fn depth(&self, order: &mut Order, prev_qty: f32, new_qty: f32, depth: &MD);
    fn is_filled(&self, order: &Order, depth: &MD) -> f32;
}

Provides an estimation of the order’s queue position.

Required Methods

fn new_order(&self, order: &mut Order, depth: &MD)

Initialize the queue position and other necessary values for estimation. This function is called when the exchange model accepts the new order.

fn trade(&self, order: &mut Order, qty: f32, depth: &MD)

Adjusts the estimation values when market trades occur at the same price.

fn depth(&self, order: &mut Order, prev_qty: f32, new_qty: f32, depth: &MD)

Adjusts the estimation values when market depth changes at the same price.

fn is_filled(&self, order: &Order, depth: &MD) -> f32

Implementors

impl<MD> QueueModel<MD> for RiskAdverseQueueModel<MD>

where MD: MarketDepth,

impl<P, MD> QueueModel<MD> for ProbQueueModel<P, MD>

where P: Probability, MD: MarketDepth,