Skip to main content

SessionVwapState

quantwave_core::indicators::session_levels

Struct SessionVwapState

pub struct SessionVwapState {
    pub vwap: f64,
    pub upper_1: f64,
    pub lower_1: f64,
    pub upper_2: f64,
    pub lower_2: f64,
    pub upper_3: f64,
    pub lower_3: f64,
    pub std_dev: f64,
    pub cumulative_volume: f64,
    pub bar_index: usize,
}

Expand description

Output state of the Session VWAP indicator.

Fields§

§vwap: f64

Volume Weighted Average Price for the session.

§upper_1: f64

Upper +1.0 standard deviation band (vwap + 1.0 * std_dev).

§lower_1: f64

Lower -1.0 standard deviation band (vwap - 1.0 * std_dev).

§upper_2: f64

Upper +2.0 standard deviation band (vwap + 2.0 * std_dev).

§lower_2: f64

Lower -2.0 standard deviation band (vwap - 2.0 * std_dev).

§upper_3: f64

Upper +3.0 standard deviation band (vwap + 3.0 * std_dev).

§lower_3: f64

Lower -3.0 standard deviation band (vwap - 3.0 * std_dev).

§std_dev: f64

Session volume-weighted standard deviation: $\sqrt{\frac{\sum V \cdot (TP - VWAP)^2}{\sum V}}$.

§cumulative_volume: f64

Cumulative volume accumulated in the current session.

§bar_index: usize

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

Implementations§

impl SessionVwapState

pub fn upper(&self, band: SessionVwapBand) -> f64

Returns the upper band value for the specified sigma multiplier.

pub fn lower(&self, band: SessionVwapBand) -> f64

Returns the lower band value for the specified sigma multiplier.

pub fn band(&self, band: SessionVwapBand) -> (f64, f64)

Returns the (upper, lower) band envelope pair for the specified sigma multiplier.

Trait Implementations§

impl Clone for SessionVwapState

fn clone(&self) -> Self

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more

impl Copy for SessionVwapState

impl Debug for SessionVwapState

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

Formats the value using the given formatter. Read more

impl<'de> Deserialize<'de> for SessionVwapState

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more

impl PartialEq for SessionVwapState

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

Equality operator ==. Read more

1.0.0 (const: unstable) · Source§

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

Inequality operator !=. Read more

impl Serialize for SessionVwapState

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where S: Serializer,

Serialize this value into the given Serde serializer. Read more

impl StructuralPartialEq for SessionVwapState

Auto Trait Implementations§

impl Forget for SessionVwapState

impl Freeze for SessionVwapState

impl Move for SessionVwapState

impl RefUnwindSafe for SessionVwapState

impl Send for SessionVwapState

impl Sync for SessionVwapState

impl Unpin for SessionVwapState

impl UnsafeUnpin for SessionVwapState

impl UnwindSafe for SessionVwapState

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> Same for T

type Output = T

Should always be Self

impl<T> Scalar for T
where T: 'static + Clone + PartialEq + Debug,

impl<SS, SP> SupersetOf<SS> for SP
where SS: SubsetOf<SP>,

fn to_subset(&self) -> Option<SS>

The inverse inclusion map: attempts to construct self from the equivalent element of its superset. Read more

fn is_in_subset(&self) -> bool

Checks if self is actually part of its subset T (and can be converted to it).

fn to_subset_unchecked(&self) -> SS

Use with care! Same as self.to_subset but without any property checks. Always succeeds.

fn from_subset(element: &SS) -> SP

The inclusion map: converts self to the equivalent element of its superset.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = !

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, !>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.