Struct LiquidationFeatures 

pub struct LiquidationFeatures { /* private fields */ }

Liquidation Features — decomposes the long- and short-side liquidation notional carried by each tick into a small feature vector.

net       = longLiquidation − shortLiquidation
total     = longLiquidation + shortLiquidation
imbalance = net / total                      (0 when total == 0)

Liquidation cascades are a perpetual-market-specific tail risk: a wave of long liquidations forces market sells that beget more liquidations. Splitting the flow into net, total and a bounded imbalance turns the raw venue feed into model-ready features — total sizes the stress, imbalance (and its sign) says which side is being flushed. A positive imbalance means longs are being liquidated (downside cascade), a negative one shorts (upside squeeze).

Input = DerivativesTick, Output = LiquidationFeaturesOutput. Stateless; ready after the first tick.

Example

use wickra_core::{DerivativesTick, Indicator, LiquidationFeatures};

fn tick(long_liq: f64, short_liq: f64) -> DerivativesTick {
    DerivativesTick::new(
        0.0, 100.0, 100.0, 100.0, 0.0, 0.0, 0.0, 0.0, 0.0, long_liq, short_liq, 0,
    )
    .unwrap()
}

let mut liq = LiquidationFeatures::new();
// 30 long vs 10 short liquidated: net 20, total 40, imbalance 0.5.
let out = liq.update(tick(30.0, 10.0)).unwrap();
assert_eq!(out.net, 20.0);
assert_eq!(out.total, 40.0);
assert_eq!(out.imbalance, 0.5);

Implementations

impl LiquidationFeatures

pub const fn new() -> Self

Construct a new liquidation-features indicator.

Trait Implementations

impl Clone for LiquidationFeatures

fn clone(&self) -> LiquidationFeatures

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for LiquidationFeatures

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

Formats the value using the given formatter.

impl Default for LiquidationFeatures

fn default() -> LiquidationFeatures

Returns the “default value” for a type.

impl Indicator for LiquidationFeatures

type Input = DerivativesTick

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

type Output = LiquidationFeaturesOutput

Type of one output value.

fn update(&mut self, tick: DerivativesTick) -> Option<LiquidationFeaturesOutput>

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.