Enum Finding 

pub enum Finding {
    RepeatedSize {
        size: f64,
        count: usize,
        of: usize,
    },
    FewSizes {
        sizes: Vec<f64>,
        count: usize,
        of: usize,
    },
    Metronome {
        mean_gap_ms: f64,
        cv: f64,
        gaps: usize,
        dominant_size: Option<f64>,
    },
    Cadence {
        gap_ms: f64,
        share: f64,
        gaps: usize,
    },
    Timer {
        low_ms: f64,
        median_ms: f64,
        high_ms: f64,
        cv: f64,
        gaps: usize,
    },
    PingPong {
        pairs: usize,
        share: f64,
    },
    Ladder {
        side: BookSide,
        levels: usize,
        shape: LadderShape,
        size: f64,
        last_size: f64,
        step_pct: f64,
    },
    RoundNotional {
        side: BookSide,
        levels: usize,
        of: usize,
        examples: Vec<f64>,
    },
}

One signal that was found, with its evidence.

Variants

RepeatedSize

count of of trades have the exact size size (base units).

Fields

size: f64

count: usize

of: usize

FewSizes

count of of trades have one of the exact sizes sizes, most common first.

Fields

sizes: Vec<f64>

count: usize

of: usize

Metronome

Gaps between trade events average mean_gap_ms, with a coefficient of variation cv, over gaps gaps. dominant_size is set when the cadence is that of the repeated-size trades only.

Fields

mean_gap_ms: f64

cv: f64

gaps: usize

dominant_size: Option<f64>

Cadence

share of gaps gaps between trade events are gap_ms apart (within CADENCE_TOLERANCE).

Fields

gap_ms: f64

share: f64

gaps: usize

Timer

The gaps between trade events run from low_ms (5th percentile) to high_ms (95th) around median_ms, with a coefficient of variation cv, over gaps gaps: a timer with jitter.

Fields

low_ms: f64

median_ms: f64

high_ms: f64

cv: f64

gaps: usize

PingPong

pairs buy/sell pairs of the same size, close in time and price, cover share of the trades.

Fields

pairs: usize

share: f64

Ladder

levels consecutive side levels at steps of about step_pct percent, from size at the first to last_size (base units), shaped as shape.

Fields

side: BookSide

levels: usize

shape: LadderShape

size: f64

last_size: f64

step_pct: f64

RoundNotional

levels of the top of side levels are whole quote amounts (the first few in examples) though their sizes are not whole.

Fields

side: BookSide

levels: usize

of: usize

examples: Vec<f64>

Implementations

impl Finding

pub fn label(&self) -> String

The short name of the signal: Jittered timer, Bid ladder.

pub fn in_book(&self) -> bool

True for a signal read in the book, false for one in the trades.

pub fn detail(&self) -> String

The evidence, without the label.

pub fn describe(&self) -> String

The label and the evidence: Bid ladder: 9 levels falling ….

Trait Implementations

impl Clone for Finding

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 Finding

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

Formats the value using the given formatter.

impl PartialEq for Finding

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for Finding

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 Finding