Struct HurstVpinDirectionalConfig 

pub struct HurstVpinDirectionalConfig {
    pub base: StrategyConfig,
    pub instrument_id: InstrumentId,
    pub bar_type: BarType,
    pub trade_size: Quantity,
    pub hurst_window: usize,
    pub hurst_lags: Vec<usize>,
    pub hurst_enter: f64,
    pub hurst_exit: f64,
    pub vpin_window: usize,
    pub vpin_threshold: f64,
    pub max_holding_secs: u64,
}

Configuration for the Hurst/VPIN directional strategy.

Combines a rescaled-range Hurst regime filter on dollar bars with a VPIN-derived informed-flow signal, and gates entry timing on the live quote stream.

Fields

base: StrategyConfig

Base strategy configuration.

instrument_id: InstrumentId

Instrument to subscribe to and trade.

bar_type: BarType

Dollar bar type (value aggregation sourced from trades).

trade_size: Quantity

Order quantity for each entry.

hurst_window: usize

Rolling window of dollar bar returns used to estimate the Hurst exponent.

hurst_lags: Vec<usize>

Lag set used for rescaled range regression.

hurst_enter: f64

Hurst threshold for entering a position (trending regime).

hurst_exit: f64

Hurst threshold for exiting an open position (regime decay).

vpin_window: usize

Number of completed volume buckets averaged for VPIN.

vpin_threshold: f64

Minimum VPIN value required to treat a bucket imbalance as informed flow.

max_holding_secs: u64

Maximum time (seconds) a position is held before forced flatten.

Implementations

impl HurstVpinDirectionalConfig

pub fn new( instrument_id: InstrumentId, bar_type: BarType, trade_size: Quantity, ) -> Self

Creates a new HurstVpinDirectionalConfig with required fields and sensible defaults.

pub fn with_hurst_window(self, window: usize) -> Self

pub fn with_hurst_lags(self, lags: Vec<usize>) -> Self

pub fn with_hurst_enter(self, threshold: f64) -> Self

pub fn with_hurst_exit(self, threshold: f64) -> Self

pub fn with_vpin_window(self, window: usize) -> Self

pub fn with_vpin_threshold(self, threshold: f64) -> Self

pub fn with_max_holding_secs(self, secs: u64) -> Self

pub fn with_strategy_id(self, strategy_id: StrategyId) -> Self

pub fn with_order_id_tag(self, tag: String) -> Self

Trait Implementations

impl Clone for HurstVpinDirectionalConfig

fn clone(&self) -> HurstVpinDirectionalConfig

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for HurstVpinDirectionalConfig

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

Formats the value using the given formatter.

impl<'a, 'py> FromPyObject<'a, 'py> for HurstVpinDirectionalConfig

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl<'py> IntoPyObject<'py> for HurstVpinDirectionalConfig

type Target = HurstVpinDirectionalConfig

The Python output type

type Output = Bound<'py, <HurstVpinDirectionalConfig as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PyClass for HurstVpinDirectionalConfig

const NAME: &str = "HurstVpinDirectionalConfig"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for HurstVpinDirectionalConfig

const MODULE: Option<&str>

Module which the class will be associated with.

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)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Configuration for the Hurst/VPIN directional strategy. /// /// Combines a rescaled-range Hurst regime filter on dollar bars with a /// VPIN-derived informed-flow signal, and gates entry timing on the /// live quote stream.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<HurstVpinDirectionalConfig as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<HurstVpinDirectionalConfig>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForHurstVpinDirectionalConfig

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

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for HurstVpinDirectionalConfig

const TEXT_SIGNATURE: &'static str = "(instrument_id, bar_type, trade_size, strategy_id=None, order_id_tag=None, hurst_window=128, hurst_lags=..., hurst_enter=0.55, hurst_exit=0.50, vpin_window=50, vpin_threshold=0.30, max_holding_secs=3600)"

impl PyTypeInfo for HurstVpinDirectionalConfig

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

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

Returns the PyTypeObject instance for this type.

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

Returns the safe abstraction over the type object.

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

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

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

Checks if object is an instance of this type.

impl DerefToPyAny for HurstVpinDirectionalConfig