Struct QuotedSpread 

pub struct QuotedSpread { /* private fields */ }

Quoted Spread — the top-of-book bid-ask spread expressed in basis points of the mid price.

mid           = (bidPrice₁ + askPrice₁) / 2
quotedSpread  = (askPrice₁ − bidPrice₁) / mid · 10_000   (bps)

This is the round-trip cost of crossing the spread at the touch, normalised by price so it is comparable across instruments. For a valid (uncrossed) book the result is non-negative. An empty book yields 0.

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

Example

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

let book = OrderBook::new(
    vec![Level::new(100.0, 1.0).unwrap()],
    vec![Level::new(100.5, 1.0).unwrap()],
)
.unwrap();
let mut qs = QuotedSpread::new();
// spread 0.5, mid 100.25 -> 0.5 / 100.25 * 10_000 ≈ 49.875 bps.
let bps = qs.update(book).unwrap();
assert!((bps - 49.875_311_72).abs() < 1e-6);

Implementations

impl QuotedSpread

pub const fn new() -> Self

Construct a new quoted-spread indicator.

Trait Implementations

impl Clone for QuotedSpread

fn clone(&self) -> QuotedSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for QuotedSpread

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

Formats the value using the given formatter.

impl Default for QuotedSpread

fn default() -> QuotedSpread

Returns the “default value” for a type.

impl Indicator for QuotedSpread

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.