Struct TwapAlgorithm 

pub struct TwapAlgorithm { /* private fields */ }

TWAP (Time-Weighted Average Price) execution algorithm.

This algorithm spreads an order over a specified time duration by breaking it into smaller slices executed at regular intervals. This helps minimize market impact and achieve a more representative average price.

Implementations

impl TwapAlgorithm

pub fn new( signal: Signal, total_quantity: Quantity, duration: Duration, num_slices: u32, ) -> Result<Self>

Create a new TWAP algorithm instance.

Arguments

• signal - The parent signal that triggered this algorithm
• total_quantity - Total quantity to be executed
• duration - Time period over which to spread the execution
• num_slices - Number of smaller orders to break the total into

Trait Implementations

impl ExecutionAlgorithm for TwapAlgorithm

fn kind(&self) -> &'static str

Human-readable identifier for persistence/logging.

fn id(&self) -> &Uuid

Returns the unique ID of this algorithm instance.

fn status(&self) -> AlgoStatus

Returns the current status of the algorithm.

fn start(&mut self) -> Result<Vec<ChildOrderRequest>>

Start the algorithm and return any initial child orders.

fn on_child_order_placed(&mut self, order: &Order)

Called when a child order has been successfully placed.

fn on_fill(&mut self, fill: &Fill) -> Result<Vec<ChildOrderRequest>>

Called when a fill is received for one of this algorithm’s child orders.

fn on_tick(&mut self, _tick: &Tick) -> Result<Vec<ChildOrderRequest>>

Called when market tick data is received (mainly for VWAP algorithms).

fn on_timer(&mut self) -> Result<Vec<ChildOrderRequest>>

Called when a timer event occurs (mainly for TWAP algorithms).

fn cancel(&mut self) -> Result<()>

Request cancellation of the algorithm.

fn bind_child_order(&mut self, order: Order) -> Result<()>

Bind a previously placed child order to the algorithm (used during recovery).

fn state(&self) -> Value

Return the current state for persistence.

fn from_state(state_val: Value) -> Result<Self>

where Self: Sized,

Restore algorithm from persisted state.