Struct BetaNeutralSpread 

pub struct BetaNeutralSpread { /* private fields */ }

The beta-neutral spread between two assets — the residual of a rolling ordinary-least-squares regression of a on b.

Each update takes one (a, b) price pair. Over the trailing window of period pairs the indicator fits the hedge ratio β (and intercept α) by OLS and reports the current residual:

β = cov(a, b) / var(b)        α = ā − β · b̄
spread = a_now − (α + β · b_now)

Subtracting β · b removes a’s exposure to b, so the spread is market- (beta-)neutral: it is what is left after the common factor is hedged out. Positive means a is rich relative to its hedge, negative means cheap — the raw signal a pairs trade fades. Where crate::PairSpreadZScore standardises this residual into a z-score and crate::Cointegration bundles it with an ADF test, this indicator returns the residual itself, in price units.

If b is flat over the window (var(b) = 0) there is no defined slope; the indicator falls back to β = 0, so the spread becomes a_now − ā.

Each update is O(1): four running sums (Σa, Σb, Σb², Σab) are maintained as the window slides.

Example

use wickra_core::{BetaNeutralSpread, Indicator};

let mut s = BetaNeutralSpread::new(20).unwrap();
let mut last = None;
for t in 0..40 {
    let b = 100.0 + f64::from(t);
    // a = 2·b + 5 exactly ⇒ the regression explains a fully ⇒ spread ≈ 0.
    last = s.update((2.0 * b + 5.0, b));
}
assert!(last.unwrap().abs() < 1e-6);

Implementations

impl BetaNeutralSpread

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

Construct a new beta-neutral spread.

Errors

Returns Error::InvalidPeriod if period < 2 — a regression slope needs at least two points.

pub const fn period(&self) -> usize

Configured look-back window.

Trait Implementations

impl Clone for BetaNeutralSpread

fn clone(&self) -> BetaNeutralSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BetaNeutralSpread

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

Formats the value using the given formatter.

impl Indicator for BetaNeutralSpread

type Input = (f64, f64)

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, input: (f64, f64)) -> 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.