Struct HurstVpinDirectionalConfigBuilder 

pub struct HurstVpinDirectionalConfigBuilder<S: State = Empty> { /* private fields */ }

Use builder syntax to set the inputs and finish with build().

Implementations

impl<S: State> HurstVpinDirectionalConfigBuilder<S>

pub fn build(self) -> HurstVpinDirectionalConfig

where S: IsComplete,

Finish building and return the requested object

pub fn base( self, value: StrategyConfig, ) -> HurstVpinDirectionalConfigBuilder<SetBase<S>>

where S::Base: IsUnset,

Optional (Some / Option setters). Default:

StrategyConfig {
    strategy_id: Some(StrategyId::from("HURST_VPIN-001")),
    order_id_tag: Some("001".to_string()),
    ..Default::default()
}

Base strategy configuration.

pub fn maybe_base( self, value: Option<StrategyConfig>, ) -> HurstVpinDirectionalConfigBuilder<SetBase<S>>

where S::Base: IsUnset,

Optional (Some / Option setters). Default:

StrategyConfig {
    strategy_id: Some(StrategyId::from("HURST_VPIN-001")),
    order_id_tag: Some("001".to_string()),
    ..Default::default()
}

Base strategy configuration.

pub fn instrument_id( self, value: InstrumentId, ) -> HurstVpinDirectionalConfigBuilder<SetInstrumentId<S>>

where S::InstrumentId: IsUnset,

Required.

Instrument to subscribe to and trade.

pub fn bar_type( self, value: BarType, ) -> HurstVpinDirectionalConfigBuilder<SetBarType<S>>

where S::BarType: IsUnset,

Required.

Dollar bar type (value aggregation sourced from trades).

pub fn trade_size( self, value: Quantity, ) -> HurstVpinDirectionalConfigBuilder<SetTradeSize<S>>

where S::TradeSize: IsUnset,

Required.

Order quantity for each entry.

pub fn hurst_window( self, value: usize, ) -> HurstVpinDirectionalConfigBuilder<SetHurstWindow<S>>

where S::HurstWindow: IsUnset,

Optional (Some / Option setters). Default: 128.

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

pub fn maybe_hurst_window( self, value: Option<usize>, ) -> HurstVpinDirectionalConfigBuilder<SetHurstWindow<S>>

where S::HurstWindow: IsUnset,

Optional (Some / Option setters). Default: 128.

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

pub fn hurst_lags( self, value: Vec<usize>, ) -> HurstVpinDirectionalConfigBuilder<SetHurstLags<S>>

where S::HurstLags: IsUnset,

Optional (Some / Option setters). Default: vec![4, 8, 16, 32].

Lag set used for rescaled range regression.

pub fn maybe_hurst_lags( self, value: Option<Vec<usize>>, ) -> HurstVpinDirectionalConfigBuilder<SetHurstLags<S>>

where S::HurstLags: IsUnset,

Optional (Some / Option setters). Default: vec![4, 8, 16, 32].

Lag set used for rescaled range regression.

pub fn hurst_enter( self, value: f64, ) -> HurstVpinDirectionalConfigBuilder<SetHurstEnter<S>>

where S::HurstEnter: IsUnset,

Optional (Some / Option setters). Default: 0.55.

Hurst threshold for entering a position (trending regime).

pub fn maybe_hurst_enter( self, value: Option<f64>, ) -> HurstVpinDirectionalConfigBuilder<SetHurstEnter<S>>

where S::HurstEnter: IsUnset,

Optional (Some / Option setters). Default: 0.55.

Hurst threshold for entering a position (trending regime).

pub fn hurst_exit( self, value: f64, ) -> HurstVpinDirectionalConfigBuilder<SetHurstExit<S>>

where S::HurstExit: IsUnset,

Optional (Some / Option setters). Default: 0.50.

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

pub fn maybe_hurst_exit( self, value: Option<f64>, ) -> HurstVpinDirectionalConfigBuilder<SetHurstExit<S>>

where S::HurstExit: IsUnset,

Optional (Some / Option setters). Default: 0.50.

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

pub fn vpin_window( self, value: usize, ) -> HurstVpinDirectionalConfigBuilder<SetVpinWindow<S>>

where S::VpinWindow: IsUnset,

Optional (Some / Option setters). Default: 50.

Number of completed volume buckets averaged for VPIN.

pub fn maybe_vpin_window( self, value: Option<usize>, ) -> HurstVpinDirectionalConfigBuilder<SetVpinWindow<S>>

where S::VpinWindow: IsUnset,

Optional (Some / Option setters). Default: 50.

Number of completed volume buckets averaged for VPIN.

pub fn vpin_threshold( self, value: f64, ) -> HurstVpinDirectionalConfigBuilder<SetVpinThreshold<S>>

where S::VpinThreshold: IsUnset,

Optional (Some / Option setters). Default: 0.30.

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

pub fn maybe_vpin_threshold( self, value: Option<f64>, ) -> HurstVpinDirectionalConfigBuilder<SetVpinThreshold<S>>

where S::VpinThreshold: IsUnset,

Optional (Some / Option setters). Default: 0.30.

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

pub fn max_holding_secs( self, value: u64, ) -> HurstVpinDirectionalConfigBuilder<SetMaxHoldingSecs<S>>

where S::MaxHoldingSecs: IsUnset,

Optional (Some / Option setters). Default: 3600.

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

pub fn maybe_max_holding_secs( self, value: Option<u64>, ) -> HurstVpinDirectionalConfigBuilder<SetMaxHoldingSecs<S>>

where S::MaxHoldingSecs: IsUnset,

Optional (Some / Option setters). Default: 3600.

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