Struct RealizedVolatility 

pub struct RealizedVolatility { /* private fields */ }

Realized Volatility — the square root of the sum of squared log returns over the trailing period bars.

r_t = ln(price_t / price_{t−1})
RV  = √( Σ r_t²  over the last `period` returns )

Unlike HistoricalVolatility — which reports the annualised sample standard deviation of log returns (mean-centred, divided by n − 1, scaled by √trading_periods and ×100) — realized volatility is the raw, un-centred, un-annualised quadratic variation estimator used in high-frequency econometrics. It makes no Gaussian assumption and no mean subtraction: it simply accumulates squared returns, which converges to the integrated variance of the price path as the sampling frequency rises. Multiply by √trading_periods yourself if an annual figure is wanted.

Non-finite and non-positive prices are ignored (the log return would be undefined): the tick is dropped, state is left untouched, and the last value is returned.

Each update is O(1): a running sum of squared returns is maintained over the rolling window.

Example

use wickra_core::{Indicator, RealizedVolatility};

let mut indicator = RealizedVolatility::new(20).unwrap();
let mut last = None;
for i in 0..80 {
    last = indicator.update(100.0 + (f64::from(i) * 0.3).sin() * 5.0);
}
assert!(last.is_some());

Implementations

impl RealizedVolatility

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

Construct a new realized-volatility indicator.

period is the number of squared log returns accumulated in the window.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for RealizedVolatility

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 RealizedVolatility

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

Formats the value using the given formatter.

impl Indicator for RealizedVolatility

type Input = f64

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, input: f64) -> 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.