Struct RollMeasure 

pub struct RollMeasure { /* private fields */ }

Roll Measure — the effective bid-ask spread implied by the negative first-order serial covariance of trade-price changes (Roll, 1984).

Δpₜ  = priceₜ − priceₜ₋₁
γ    = sample lag-1 autocovariance of Δp over the last `period` changes
spread = 2 · √(−γ)   if γ < 0,   else 0

Roll’s insight: in a frictionless market price changes are serially uncorrelated, but the bid-ask bounce — trades alternating between buying at the ask and selling at the bid — induces a negative autocovariance whose magnitude pins the spread. The measure recovers an effective spread from trade prices alone, with no quote data. When the serial covariance is non-negative (a trending or frictionless tape) the model implies no spread and the indicator returns 0.

Input = Trade (only the price is used). Each update is O(period): the autocovariance is recomputed from the window of price changes.

Example

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

let mut roll = RollMeasure::new(20).unwrap();
let mut last = None;
// A clean bid-ask bounce of ±0.5 around 100 implies a spread near 1.0.
for i in 0..40 {
    let price = if i % 2 == 0 { 100.0 } else { 101.0 };
    last = roll.update(Trade::new(price, 1.0, Side::Buy, 0).unwrap());
}
assert!(last.unwrap() > 0.0);

Implementations

impl RollMeasure

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

Construct a new Roll Measure over the given window of price changes.

Errors

Returns Error::InvalidPeriod if period < 3 — the lag-1 autocovariance needs at least two consecutive change pairs.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for RollMeasure

fn clone(&self) -> RollMeasure

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RollMeasure

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

Formats the value using the given formatter.

impl Indicator for RollMeasure

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.