Struct EffectiveSpread 

pub struct EffectiveSpread { /* private fields */ }

Effective Spread — twice the signed deviation of an executed trade price from the prevailing mid, expressed in basis points of the mid.

effectiveSpread = 2 · D · (tradePrice − mid) / mid · 10_000   (bps)

where D is the aggressor sign (+1 for a buy, −1 for a sell). The factor of two scales the one-sided deviation up to a full round-trip cost so it is directly comparable to the quoted spread: a marketable order that fills exactly at the touch of an otherwise quoted-spread book pays an effective spread equal to the quoted spread. Trades that fill inside the spread (price improvement) read below the quoted spread; trades that walk the book read above it.

A buy printed above the mid (tradePrice > mid) and a sell printed below it both yield a positive effective spread — the conventional sign, since the aggressor pays in both cases. A trade printed on the wrong side of the mid for its aggressor flag (a buy below the mid) reads negative, the signature of price improvement or a stale/mislabelled quote.

Input = TradeQuote, Output = f64. Stateless; ready after the first trade-quote.

Example

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

let mut es = EffectiveSpread::new();
// Buy filled at 100.05 against a mid of 100.0:
// 2 · (+1) · (100.05 − 100.0) / 100.0 · 10_000 = 10 bps.
let trade = Trade::new(100.05, 1.0, Side::Buy, 0).unwrap();
let quote = TradeQuote::new(trade, 100.0).unwrap();
assert!((es.update(quote).unwrap() - 10.0).abs() < 1e-9);

Implementations

impl EffectiveSpread

pub const fn new() -> Self

Construct a new effective-spread indicator.

Trait Implementations

impl Clone for EffectiveSpread

fn clone(&self) -> EffectiveSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EffectiveSpread

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

Formats the value using the given formatter.

impl Default for EffectiveSpread

fn default() -> EffectiveSpread

Returns the “default value” for a type.

impl Indicator for EffectiveSpread

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.