Struct BigTradeRule 

#[non_exhaustive]
pub struct BigTradeRule {
    pub threshold: Threshold,
    pub body_zones: bool,
    pub wick_zones: bool,
}

What makes a trade large, and which of the zones of large trades are kept.

Fills sharing an explicit aggressor order id, in a row, form one trade; fills without one stand alone. A trade is large once its combined size reaches the threshold. With Threshold::Auto that is the 99th percentile, by nearest rank, of the combined sizes of the symbol’s last 10,000 trades, recomputed every 100 trades and inactive until 1,000 trades have been seen; trades from loaded history count.

A large trade shows as a marker at its first fill time and volume-weighted price, coloured by its aggressor side and labelled with its size, and as a zone from its first fill onward over the prices it filled at, at least one tick high, centred on them. Both follow the later fills of the same aggressor. A zone ends at the first trade at or after its start strictly beyond its far side: below it after a buy, above it after a sell, and on either side when the side is unknown.

The service uses one interval per symbol, chosen by its latest subscription, for every chart of that symbol. Intraday bars use the instrument’s exchange time zone (UTC when absent) and regular session; daily and longer bars use UTC calendar boundaries. The chart’s display time zone and extended-hours setting are not inputs to the service.

When the bar of the subscribed time interval that contains the first fill closes, the trade is in the body of that bar if its volume-weighted price lies between the bar’s open and close, both included, and in a wick otherwise. Zones of the kinds not kept are then removed. Zones in a bar the service did not see open, the first one after tracking starts or the interval changes, or under a trade-based interval, stay. A trade that first becomes large after its first fill’s bar has closed also keeps its zone: that bar is no longer held for classification.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

threshold: Threshold

Combined size from which a trade is large.

body_zones: bool

Keep the zones of large trades in the body of their bar.

wick_zones: bool

Keep the zones of large trades in a wick of their bar.

Trait Implementations

impl Clone for BigTradeRule

fn clone(&self) -> BigTradeRule

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BigTradeRule

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

Formats the value using the given formatter.

impl Default for BigTradeRule

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for BigTradeRule

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for BigTradeRule

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for BigTradeRule

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for BigTradeRule