Struct TradeSignAutocorrelation 

pub struct TradeSignAutocorrelation { /* private fields */ }

Trade-Sign Autocorrelation — the lag-1 autocorrelation of the trade sign (+1 buy, −1 sell), measuring how strongly signed order flow persists.

s_t  = +1 if the trade is a buy, −1 if a sell
ρ1   = mean over the window of ( s_t · s_{t−1} )      ∈ [−1, +1]

In real markets trade signs are strongly positively autocorrelated: a buy tends to be followed by another buy (and a sell by a sell), because large parent orders are split into many child trades and because of order-splitting and herding. A high reading therefore indicates persistent directional pressure — a footprint of informed or algorithmic execution — while a reading near zero signals balanced, uninformed flow and a negative reading signals alternating (bid-ask bounce) flow.

The output is the mean product of consecutive signs, bounded in [−1, +1]. The first value lands after period trades. Each update is O(period).

Example

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

let mut indicator = TradeSignAutocorrelation::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    let side = if i % 2 == 0 { Side::Buy } else { Side::Sell };
    last = indicator.update(Trade::new(100.0, 1.0, side, i).unwrap());
}
// Perfectly alternating signs -> autocorrelation -1.
assert!((last.unwrap() + 1.0).abs() < 1e-9);

Implementations

impl TradeSignAutocorrelation

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

Construct a trade-sign autocorrelation over period trades.

Errors

Returns Error::InvalidPeriod if period < 2 (a lag-1 product needs two trades).

pub const fn period(&self) -> usize

Configured window of trades.

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for TradeSignAutocorrelation

fn clone(&self) -> TradeSignAutocorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TradeSignAutocorrelation

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

Formats the value using the given formatter.

impl Indicator for TradeSignAutocorrelation

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.