Struct Vpin 

pub struct Vpin { /* private fields */ }

VPIN — the Volume-Synchronised Probability of Informed Trading (Easley, López de Prado & O’Hara, 2012).

Trades are bucketed into equal-volume buckets of size bucket_volume. For each completed bucket the order-flow imbalance is the absolute difference between buy and sell volume; VPIN is that imbalance averaged over the last num_buckets buckets and normalised by the bucket size:

VPIN = ( Σ |Vᴮ_τ − Vˢ_τ| ) / (num_buckets · bucket_volume)

The aggressor Side of each Trade classifies its volume directly (no bulk-volume classification needed). A single trade may span several buckets; its volume is split across bucket boundaries. The result lies in [0, 1]: values near 1 signal a strongly one-sided, likely-informed flow (a toxic regime), values near 0 a balanced two-sided flow.

Input = Trade. Because bucket completion is driven by cumulative volume, readiness is data-dependent; warmup_period reports num_buckets as the minimum number of trades (one per bucket) and is_ready reflects the true bucket count.

Example

use wickra_core::{Indicator, Side, Trade, Vpin};

let mut vpin = Vpin::new(10.0, 2).unwrap();
// Two buckets of pure buying => imbalance == bucket size => VPIN 1.
let mut last = None;
for _ in 0..4 {
    last = vpin.update(Trade::new(100.0, 5.0, Side::Buy, 0).unwrap());
}
assert_eq!(last, Some(1.0));

Implementations

impl Vpin

pub fn new(bucket_volume: f64, num_buckets: usize) -> Result<Self>

Construct a new VPIN estimator.

Errors

Returns Error::PeriodZero if num_buckets == 0, or Error::InvalidParameter if bucket_volume is not finite and positive.

pub const fn params(&self) -> (f64, usize)

Configured (bucket_volume, num_buckets).

Trait Implementations

impl Clone for Vpin

fn clone(&self) -> Vpin

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Vpin

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

Formats the value using the given formatter.

impl Indicator for Vpin

type Input = Trade

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, trade: Trade) -> 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.