Struct SpreadAnalyzer

#[repr(C)]
pub struct SpreadAnalyzer {
    pub capacity: usize,
    pub instrument_id: InstrumentId,
    pub current: f64,
    pub average: f64,
    pub initialized: bool,
    /* private fields */
}

An indicator which calculates the efficiency ratio across a rolling window.

The Kaufman Efficiency measures the ratio of the relative market speed in relation to the volatility, this could be thought of as a proxy for noise.

Fields

capacity: usize

instrument_id: InstrumentId

current: f64

average: f64

initialized: bool

Implementations

impl SpreadAnalyzer

pub fn new(capacity: usize, instrument_id: InstrumentId) -> Self

Creates a new SpreadAnalyzer instance.

Trait Implementations

impl Debug for SpreadAnalyzer

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

Formats the value using the given formatter.

impl Display for SpreadAnalyzer

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

Formats the value using the given formatter.

impl Indicator for SpreadAnalyzer

fn name(&self) -> String

fn has_inputs(&self) -> bool

fn initialized(&self) -> bool

fn handle_quote(&mut self, quote: &QuoteTick)

fn reset(&mut self)

fn handle_delta(&mut self, delta: &OrderBookDelta)

fn handle_deltas(&mut self, deltas: &OrderBookDeltas)

fn handle_depth(&mut self, depth: &OrderBookDepth10)

fn handle_book(&mut self, book: &OrderBook)

fn handle_trade(&mut self, trade: &TradeTick)

fn handle_bar(&mut self, bar: &Bar)

impl IntoPy<Py<PyAny>> for SpreadAnalyzer

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PyClass for SpreadAnalyzer

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for SpreadAnalyzer

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<SpreadAnalyzer>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<SpreadAnalyzer> for PyClassImplCollector<SpreadAnalyzer>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a SpreadAnalyzer

type Holder = Option<PyRef<'py, SpreadAnalyzer>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a mut SpreadAnalyzer

type Holder = Option<PyRefMut<'py, SpreadAnalyzer>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<SpreadAnalyzer> for PyClassImplCollector<SpreadAnalyzer>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for SpreadAnalyzer

const NAME: &'static str = "SpreadAnalyzer"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for SpreadAnalyzer