Struct CalendarSpread 

pub struct CalendarSpread { /* private fields */ }

Calendar Spread — the relative spread between a dated (e.g. quarterly) futures price and the perpetual mark price.

spread = (futuresPrice − markPrice) / markPrice

A calendar (or inter-delivery) spread trades the near leg against the far leg — here the perpetual against a dated future. The relative spread is the roll yield available between the two contracts: positive when the future trades over the perpetual (contango roll), negative when under (backwardation). Where TermStructureBasis measures the future against spot, this measures it against the perpetual — the leg a perp-vs-future basis trade actually holds. The output is a fraction; multiply by 10_000 for basis points.

Input = DerivativesTick, Output = f64. Stateless; ready after the first tick.

Example

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

fn tick(futures: f64, mark: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, mark, mark, futures, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut cs = CalendarSpread::new();
// futures 101 vs perpetual mark 100 -> 0.01.
assert!((cs.update(tick(101.0, 100.0)).unwrap() - 0.01).abs() < 1e-12);

Implementations

impl CalendarSpread

pub const fn new() -> Self

Construct a new calendar-spread indicator.

Trait Implementations

impl Clone for CalendarSpread

fn clone(&self) -> CalendarSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CalendarSpread

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

Formats the value using the given formatter.

impl Default for CalendarSpread

fn default() -> CalendarSpread

Returns the “default value” for a type.

impl Indicator for CalendarSpread

type Input = DerivativesTick

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, tick: DerivativesTick) -> 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.