Struct IntraBarFeatures

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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.

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§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§

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impl Clone for IntraBarFeatures

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fn clone(&self) -> IntraBarFeatures

Returns a duplicate of the value. Read more

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

Performs copy-assignment from source. Read more

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impl Debug for IntraBarFeatures

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

Formats the value using the given formatter. Read more

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impl Default for IntraBarFeatures

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fn default() -> IntraBarFeatures

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

Auto Trait Implementations§

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impl UnwindSafe for IntraBarFeatures

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

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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

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fn borrow(&self) -> &T

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

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

Mutably borrows from an owned value. Read more

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

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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

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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

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fn into(self) -> U

Calls U::from(self).

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

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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