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) -> Self

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 there is no value for this input.

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.

fn batch_nan_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Run the indicator over inputs, writing one output per input into the caller-owned out buffer (NaN where update returns None). It exists for every indicator whose output converts to an f64; the batch pipelines use it for the scalar f64 -> f64 ones.

fn batch_fast_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Opt-in fast batch: like batch_nan_into, but an indicator with a vectorised kernel may reassociate its arithmetic to run it in SIMD lanes. Each value then agrees with the exact batch to within the tolerance the indicator documents (a few units in the last place), not bit for bit; warmup positions, NaN placement and the output length are identical. The kernels are deterministic: the same input produces the same bits on every platform, with or without SIMD hardware.