Struct Pin 

pub struct Pin { /* private fields */ }

PIN — the Probability of Informed Trading, estimated from the buy/sell order imbalance over a rolling window of trades.

over the last `window` trades: B = buys, S = sells   (B + S = window)
PIN ≈ |B − S| / (B + S)        ∈ [0, 1]

The Easley-Kiefer-O’Hara-Paperman (EKOP) model splits order flow into an uninformed component (balanced buys and sells, rate ε per side) and an informed component that trades one-directionally when private information arrives (rate μ, probability α). The probability that any given trade is information-motivated is PIN = αμ / (αμ + 2ε). Estimated over a single window, the informed flow shows up as the net imbalance |B − S| and the uninformed flow as the balanced remainder, giving the moment estimator above. A high PIN flags a one-sided, likely-informed market; a low PIN flags balanced, uninformed flow.

This is distinct from Vpin, the volume-synchronised variant that buckets by volume and uses bulk-volume classification; here trades are counted in event time and classified by their tagged aggressor side. The full PIN is fit by maximum likelihood over many periods — this single-window estimator is the streaming moment approximation. The output is in [0, 1]; the first value lands after window trades.

Example

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

let mut indicator = Pin::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    // All buys -> maximally one-sided -> PIN 1.
    last = indicator.update(Trade::new(100.0, 1.0, Side::Buy, i).unwrap());
}
assert!((last.unwrap() - 1.0).abs() < 1e-9);

Implementations

impl Pin

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

Construct a PIN estimator over window trades.

Errors

Returns Error::PeriodZero if window == 0.

pub const fn window(&self) -> usize

Configured window of trades.

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

Current value if available.

Trait Implementations

impl Clone for Pin

fn clone(&self) -> Pin

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Pin

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

Formats the value using the given formatter.

impl Indicator for Pin

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.