Struct CalendarSpread 

pub struct CalendarSpread { /* private fields */ }

Calendar Spread — the relative spread between a dated (e.g. quarterly) futures price and the perpetual mark price.

spread = (futuresPrice − markPrice) / markPrice

A calendar (or inter-delivery) spread trades the near leg against the far leg — here the perpetual against a dated future. The relative spread is the roll yield available between the two contracts: positive when the future trades over the perpetual (contango roll), negative when under (backwardation). Where TermStructureBasis measures the future against spot, this measures it against the perpetual — the leg a perp-vs-future basis trade actually holds. The output is a fraction; multiply by 10_000 for basis points.

Input = DerivativesTick, Output = f64. Stateless; ready after the first tick.

Example

use wickra_core::{CalendarSpread, DerivativesTick, Indicator};

fn tick(futures: f64, mark: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, mark, mark, futures, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut cs = CalendarSpread::new();
// futures 101 vs perpetual mark 100 -> 0.01.
assert!((cs.update(tick(101.0, 100.0)).unwrap() - 0.01).abs() < 1e-12);

Implementations

impl CalendarSpread

pub const fn new() -> Self

Construct a new calendar-spread indicator.

Trait Implementations

impl Clone for CalendarSpread

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 CalendarSpread

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

Formats the value using the given formatter.

impl Default for CalendarSpread

fn default() -> Self

Returns the “default value” for a type.

impl Indicator for CalendarSpread

type Input = DerivativesTick

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, tick: DerivativesTick) -> 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.