Enum OrderFlowKind 

#[non_exhaustive]
pub enum OrderFlowKind {
    Spread,
    BookSize {
        levels: usize,
        distance: f64,
    },
    TradeRate {
        volume: bool,
        seconds: usize,
        instant: usize,
    },
    AggressorRate {
        seconds: usize,
        instant: usize,
    },
    LevelsExecuted {
        seconds: usize,
        reversal: bool,
    },
    SizeDelta {
        ranges: [[f64; 2]; 3],
    },
    FlowSum {
        bars: usize,
    },
    FilteredCvd {
        min: f64,
        max: f64,
    },
    LevelsTradedThrough {
        seconds: usize,
    },
}

Fixed stream aggregation performed before a feed coalesces its updates for painting.

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

Spread

Last, arithmetic mean and maximum quoted spread, in instrument ticks, per bar.

BookSize

Last resting bid size, ask size and their difference. distance == 0 selects the nearest levels on each side; a positive distance selects prices within that many price units of each side’s inside market, inclusive. With an OrderFilter (see OrderFlowInput::with_order_filter) the sizes are those of the individual orders it accepts, and a bar whose feed sends aggregate depth only has no value.

Fields

levels: usize

Maximum levels when distance is zero.

distance: f64

Price distance, zero for level count.

TradeRate

Bar total, rolling rate per second and instant rate per second. Windows are (now - seconds, now]; volume == false counts executions, including zero-size ones.

Fields

volume: bool

Sum size rather than execution count.

seconds: usize

Rolling window in seconds.

instant: usize

Instant window in seconds.

AggressorRate

Distinct explicitly identified aggressor orders: the bar total, and the rolling and instant rates per second over (now - seconds, now]. Fills sharing an aggressor order id count once, however many fills or windows they span; fills without one are neither merged nor counted.

Fields

seconds: usize

Rolling window in seconds.

instant: usize

Instant window in seconds.

LevelsExecuted

Distinct prices that buy and sell executions printed at, per bar when seconds == 0, otherwise over (now - seconds, now], and their sum. Only executions count, so a quote that moves because a resting order was cancelled adds nothing, unlike LevelsTradedThrough. Executions of unknown side count for neither side.

Fields

seconds: usize

Rolling seconds, or zero for per-bar totals.

reversal: bool

Restart a side’s count when its executions reverse: a buy below the previous buy, or a sell above the previous sell.

SizeDelta

Buy minus sell volume per bar, counting only executions whose size lies in each of three inclusive [min, max] ranges, all from the same trades. A range with min > max matches nothing; executions of unknown side count for no range.

Fields

ranges: [[f64; 2]; 3]

Inclusive size ranges, one per output.

FlowSum

Total volume and buy minus sell volume per bar, which a study sums over bars bars.

Fields

bars: usize

Bars in the rolling sum.

FilteredCvd

Buy minus sell volume, its highest and lowest running value including zero, per bar, counting executions whose size lies in the inclusive range. A study accumulates the delta into a cumulative volume delta. The sum starts at the oldest bar with a retained value, so it starts again from a later bar after the input drops its oldest bars (see OrderFlowInput).

Fields

min: f64

Smallest size counted.

max: f64

Largest size counted.

LevelsTradedThrough

Absolute bid and ask movement in ticks and their sum, per bar when seconds == 0, otherwise over (now - seconds, now]. The first quote after book loss seeds anew.

Fields

seconds: usize

Rolling seconds, or zero for per-bar totals.

Trait Implementations

impl Clone for OrderFlowKind

fn clone(&self) -> OrderFlowKind

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for OrderFlowKind

impl Debug for OrderFlowKind

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

Formats the value using the given formatter.

impl PartialEq for OrderFlowKind

fn eq(&self, other: &OrderFlowKind) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for OrderFlowKind