Struct Microprice 

pub struct Microprice { /* private fields */ }

Microprice — the size-weighted mid of the top of book.

The microprice tilts the mid toward the side that is more likely to be hit: it weights each touch price by the size resting on the opposite side, so a heavy ask (sell pressure) pulls the fair value down toward the bid, and vice versa:

microprice = (bidPrice₁·askSize₁ + askPrice₁·bidSize₁) / (bidSize₁ + askSize₁)

When both top sizes are zero the weighting is undefined and the plain mid (bidPrice₁ + askPrice₁) / 2 is returned. An empty book yields 0.

Input = OrderBook, Output = f64. Stateless; ready after the first snapshot.

Example

use wickra_core::{Indicator, Level, Microprice, OrderBook};

let book = OrderBook::new(
    vec![Level::new(100.0, 1.0).unwrap()],
    vec![Level::new(101.0, 3.0).unwrap()],
)
.unwrap();
let mut mp = Microprice::new();
// (100·3 + 101·1) / (1 + 3) = 401 / 4 = 100.25 — pulled toward the bid.
assert_eq!(mp.update(book), Some(100.25));

Implementations

impl Microprice

pub const fn new() -> Self

Construct a new microprice indicator.

Trait Implementations

impl Clone for Microprice

fn clone(&self) -> Microprice

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Microprice

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

Formats the value using the given formatter.

impl Default for Microprice

fn default() -> Microprice

Returns the “default value” for a type.

impl Indicator for Microprice

type Input = OrderBook

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, book: OrderBook) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

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

Stable, human-readable indicator name. Used by chaining and diagnostics.