Struct OnlineFeatures 

#[repr(C)]
pub struct OnlineFeatures {

    pub version: u16,
    pub flags: u16,
    pub _pad0: [u8; 4],
    pub microprice_1e9: u64,
    pub ofi_1level_1e8: i64,
    pub ofi_5level_1e8: i64,
    pub mlofi_10_1e8: i64,
    pub ofi_ewma_1e6: i64,
    pub trade_sign_imbalance_1e6: i64,
    pub trade_arrival_rate_1e3: u32,
    pub vpin_1e4: u16,
    pub _pad1: u16,
    pub spread_regime: u8,
    pub _pad2a: u8,
    pub spread_zscore_1e3: i16,
    pub cancel_rate_1e4: u16,
    pub depth_imbalance_1e4: i16,
    pub rv_1m_bps: u32,
    pub rv_5m_bps: u32,
    pub rv_1h_bps: u32,
    pub _pad3: u32,
    pub pred_dir_up_1e4: u16,
    pub pred_dir_flat_1e4: u16,
    pub pred_dir_down_1e4: u16,
    pub pred_stress_normal_1e4: u16,
    pub pred_stress_widening_1e4: u16,
    pub pred_stress_crisis_1e4: u16,
    pub pred_toxic_1e4: u16,
    pub prediction_age_ms: u16,
    pub fill_prob_bid_1e4: u16,
    pub fill_prob_ask_1e4: u16,
    pub queue_decay_rate_1e4: u16,
    pub _fill_pad: u16,
    pub feature_ts_ns: u64,
    pub _reserved: [u8; 136],
}

Online microstructure features delivered by the CC data engine. Written to WASM memory before each algo callback. Old algos that never read 0x1A000 are unaffected (backward compatible).

Fields

version: u16

ABI version (currently 1).

flags: u16

Bit flags: bit 0 = vpin_valid.

_pad0: [u8; 4]

microprice_1e9: u64

Microprice scaled 1e9.

ofi_1level_1e8: i64

Order flow imbalance, top-of-book, scaled 1e8.

ofi_5level_1e8: i64

Order flow imbalance, 5 levels, scaled 1e8.

mlofi_10_1e8: i64

Multi-level OFI (10 levels), scaled 1e8.

ofi_ewma_1e6: i64

OFI EWMA, scaled 1e6.

trade_sign_imbalance_1e6: i64

Trade sign imbalance [-1e6, +1e6].

trade_arrival_rate_1e3: u32

Trades/sec x 1000.

vpin_1e4: u16

VPIN [0, 10000] — only valid when flags bit 0 is set.

_pad1: u16

spread_regime: u8

0=tight, 1=normal, 2=wide, 3=crisis.

_pad2a: u8

spread_zscore_1e3: i16

Spread z-score x 1000.

cancel_rate_1e4: u16

Cancel rate [0, 10000].

depth_imbalance_1e4: i16

Depth imbalance [-10000, +10000].

rv_1m_bps: u32

1-minute realized vol in basis points.

rv_5m_bps: u32

5-minute realized vol in basis points.

rv_1h_bps: u32

1-hour realized vol in basis points.

_pad3: u32

pred_dir_up_1e4: u16

Probability of up direction [0, 10000].

pred_dir_flat_1e4: u16

Probability of flat direction [0, 10000].

pred_dir_down_1e4: u16

Probability of down direction [0, 10000].

pred_stress_normal_1e4: u16

Probability of normal stress [0, 10000].

pred_stress_widening_1e4: u16

Probability of widening stress [0, 10000].

pred_stress_crisis_1e4: u16

Probability of crisis stress [0, 10000].

pred_toxic_1e4: u16

Probability of toxic flow [0, 10000].

prediction_age_ms: u16

Age of prediction in ms.

fill_prob_bid_1e4: u16

Fill probability on bid side [0, 10000].

fill_prob_ask_1e4: u16

Fill probability on ask side [0, 10000].

queue_decay_rate_1e4: u16

Queue decay rate [0, 10000].

_fill_pad: u16

feature_ts_ns: u64

Feature computation timestamp in nanoseconds.

_reserved: [u8; 136]

Reserved for future expansion.

Implementations

impl OnlineFeatures

pub fn vpin_valid(&self) -> bool

Whether the VPIN field is valid (flags bit 0).

pub fn microprice_f64(&self) -> f64

Microprice as f64 (divide by 1e9).

pub fn ofi_1level_f64(&self) -> f64

OFI 1-level as f64 (divide by 1e8).

pub fn trade_sign_imbalance_f64(&self) -> f64

Trade sign imbalance as f64 in [-1.0, +1.0].

Trait Implementations

impl Clone for OnlineFeatures

fn clone(&self) -> OnlineFeatures

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OnlineFeatures

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

Formats the value using the given formatter.

impl Default for OnlineFeatures

fn default() -> Self

Returns the “default value” for a type.

impl Copy for OnlineFeatures