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IntraBarFeatures

rangebar_core::intrabar::features

Struct IntraBarFeatures

pub struct IntraBarFeatures {Show 22 fields
    pub intra_bull_epoch_density: Option<f64>,
    pub intra_bear_epoch_density: Option<f64>,
    pub intra_bull_excess_gain: Option<f64>,
    pub intra_bear_excess_gain: Option<f64>,
    pub intra_bull_cv: Option<f64>,
    pub intra_bear_cv: Option<f64>,
    pub intra_max_drawdown: Option<f64>,
    pub intra_max_runup: Option<f64>,
    pub intra_trade_count: Option<u32>,
    pub intra_ofi: Option<f64>,
    pub intra_duration_us: Option<i64>,
    pub intra_intensity: Option<f64>,
    pub intra_vwap_position: Option<f64>,
    pub intra_count_imbalance: Option<f64>,
    pub intra_kyle_lambda: Option<f64>,
    pub intra_burstiness: Option<f64>,
    pub intra_volume_skew: Option<f64>,
    pub intra_volume_kurt: Option<f64>,
    pub intra_kaufman_er: Option<f64>,
    pub intra_garman_klass_vol: Option<f64>,
    pub intra_hurst: Option<f64>,
    pub intra_permutation_entropy: Option<f64>,
}

Expand description

All 22 intra-bar features computed from constituent trades.

All ITH-based features are normalized to [0, 1] for LSTM consumption. Statistical features preserve their natural ranges. Optional fields return None when insufficient data.

Fields§

§intra_bull_epoch_density: Option<f64>

Bull epoch density: sigmoid(epochs/trade_count, 0.5, 10)

§intra_bear_epoch_density: Option<f64>

Bear epoch density: sigmoid(epochs/trade_count, 0.5, 10)

§intra_bull_excess_gain: Option<f64>

Bull excess gain (sum): tanh-normalized to [0, 1]

§intra_bear_excess_gain: Option<f64>

Bear excess gain (sum): tanh-normalized to [0, 1]

§intra_bull_cv: Option<f64>

Bull intervals CV: sigmoid-normalized to [0, 1]

§intra_bear_cv: Option<f64>

Bear intervals CV: sigmoid-normalized to [0, 1]

§intra_max_drawdown: Option<f64>

Max drawdown in bar: already [0, 1]

§intra_max_runup: Option<f64>

Max runup in bar: already [0, 1]

§intra_trade_count: Option<u32>

Number of trades in the bar

§intra_ofi: Option<f64>

Order Flow Imbalance: (buy_vol - sell_vol) / total_vol, [-1, 1]

§intra_duration_us: Option<i64>

Duration of bar in microseconds

§intra_intensity: Option<f64>

Trade intensity: trades per second

§intra_vwap_position: Option<f64>

VWAP position within price range: [0, 1]

§intra_count_imbalance: Option<f64>

Count imbalance: (buy_count - sell_count) / total_count, [-1, 1]

§intra_kyle_lambda: Option<f64>

Kyle’s Lambda proxy (normalized)

§intra_burstiness: Option<f64>

Burstiness (Goh-Barabási): [-1, 1]

§intra_volume_skew: Option<f64>

Volume skewness

§intra_volume_kurt: Option<f64>

Volume excess kurtosis

§intra_kaufman_er: Option<f64>

Kaufman Efficiency Ratio: [0, 1]

§intra_garman_klass_vol: Option<f64>

Garman-Klass volatility estimator

§intra_hurst: Option<f64>

Hurst exponent via DFA (requires >= 64 trades)

§intra_permutation_entropy: Option<f64>

Permutation entropy (requires >= 60 trades)

Trait Implementations§

impl Clone for IntraBarFeatures

fn clone(&self) -> IntraBarFeatures

Returns a duplicate of the value. Read more

1.0.0 · Source§

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

Performs copy-assignment from source. Read more

impl Debug for IntraBarFeatures

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

Formats the value using the given formatter. Read more

impl Default for IntraBarFeatures

fn default() -> IntraBarFeatures

Returns the “default value” for a type. Read more

Auto Trait Implementations§

impl Freeze for IntraBarFeatures

impl RefUnwindSafe for IntraBarFeatures

impl Send for IntraBarFeatures

impl Sync for IntraBarFeatures

impl Unpin for IntraBarFeatures

impl UnsafeUnpin for IntraBarFeatures

impl UnwindSafe for IntraBarFeatures

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> 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> 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 = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

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.