Struct RealizedSpread 

pub struct RealizedSpread { /* private fields */ }

Realized Spread — twice the signed deviation of a trade price from the mid that prevails horizon trades later, expressed in basis points of the trade’s contemporaneous mid.

realizedSpread = 2 · D · (tradePrice − mid_{t+horizon}) / mid_t · 10_000   (bps)

where D is the aggressor sign (+1 for a buy, −1 for a sell), mid_t is the mid at the time of the trade, and mid_{t+horizon} is the mid horizon trade-quotes later. Where the effective spread measures the full cost paid by the aggressor against the contemporaneous mid, the realized spread measures the share of that cost a liquidity provider keeps after the mid has moved: it is the effective spread net of the price impact (effective = realized + 2 · priceImpact). A high realized spread means the quote was not picked off; a low or negative one is the signature of adverse selection, the trade preceding a move in its own direction.

The indicator buffers each incoming trade-quote and emits the realized spread for the trade made horizon updates ago, once that future mid is known. It warms up for horizon + 1 trade-quotes — update returns None until the first trade can be resolved — and then emits one value per update in O(1).

Input = TradeQuote, Output = f64.

Example

use wickra_core::{Indicator, RealizedSpread, Side, Trade, TradeQuote};

let mut rs = RealizedSpread::new(1).unwrap();
let tq = |price: f64, side, mid| TradeQuote::new(Trade::new(price, 1.0, side, 0).unwrap(), mid).unwrap();
// First trade buffered; nothing to resolve yet.
assert_eq!(rs.update(tq(100.10, Side::Buy, 100.0)), None);
// One trade later the mid is 100.20, resolving the first buy:
// 2 · (+1) · (100.10 − 100.20) / 100.0 · 10_000 = −20 bps (adverse selection).
let out = rs.update(tq(99.90, Side::Sell, 100.20)).unwrap();
assert!((out - (-20.0)).abs() < 1e-9);

Implementations

impl RealizedSpread

pub fn new(horizon: usize) -> Result<Self>

Construct a realized-spread indicator that resolves each trade against the mid horizon trade-quotes later.

Errors

Returns Error::PeriodZero if horizon is zero (the realized spread is defined against a strictly future mid).

pub const fn horizon(&self) -> usize

The configured horizon, in trade-quotes.

Trait Implementations

impl Clone for RealizedSpread

fn clone(&self) -> RealizedSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RealizedSpread

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

Formats the value using the given formatter.

impl Indicator for RealizedSpread

type Input = TradeQuote

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, quote: TradeQuote) -> 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.