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) -> Self

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 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.