Struct SessionVwap 

pub struct SessionVwap { /* private fields */ }

Session Volume Weighted Average Price (VWAP) with Standard Deviation Bands.

Accumulates volume-weighted typical price across intraday bars and resets whenever is_session_start is true.

Typical Price: $$TP = \frac{\text{High} + \text{Low} + \text{Close}}{3}$$

Running VWAP: $$VWAP = \frac{\sum (TP \cdot Volume)}{\sum Volume}$$

Running Volume-Weighted Standard Deviation: $$\sigma = \sqrt{\frac{\sum Volume \cdot (TP - VWAP)^2}{\sum Volume}}$$

Standard Deviation Bands: $$\text{Upper}_k = VWAP + k \cdot \sigma, \quad \text{Lower}_k = VWAP - k \cdot \sigma \quad (k \in {1, 2, 3})$$

Implementations

impl SessionVwap

pub fn new() -> Self

Creates a new SessionVwap state machine.

pub fn reset(&mut self)

Explicitly resets the session accumulation counters.

pub fn cumulative_volume(&self) -> f64

Returns the total volume accumulated in the current session.

pub fn current_vwap(&self) -> f64

Returns the current VWAP level for the session.

pub fn current_bar_index(&self) -> usize

Returns the 0-indexed count of bars processed in the current session.

Trait Implementations

impl Clone for SessionVwap

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 SessionVwap

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

Formats the value using the given formatter.

impl Default for SessionVwap

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for SessionVwap

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Next<(f64, f64, f64, f64, bool)> for SessionVwap

type Output = SessionVwapState

fn next( &mut self, (high, low, close, volume, is_session_start): (f64, f64, f64, f64, bool), ) -> Self::Output

Process the next input and return the updated output.

fn next_batch(&mut self, inputs: &[Input]) -> Vec<Self::Output>

where Input: Copy,

Process a batch of inputs eagerly. This allows implementations to override with vectorized logic, while falling back to scalar processing by default.

impl Next<SessionVwapInput> for SessionVwap

type Output = SessionVwapState

fn next(&mut self, input: SessionVwapInput) -> Self::Output

Process the next input and return the updated output.

fn next_batch(&mut self, inputs: &[Input]) -> Vec<Self::Output>

where Input: Copy,

Process a batch of inputs eagerly. This allows implementations to override with vectorized logic, while falling back to scalar processing by default.

impl PartialEq for SessionVwap

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for SessionVwap

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for SessionVwap