nautilus_trading/examples/strategies/hurst_vpin_directional/
config.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Configuration for the Hurst/VPIN directional strategy.
17
18use nautilus_model::{
19    data::BarType,
20    identifiers::{InstrumentId, StrategyId},
21    types::Quantity,
22};
23
24use crate::strategy::StrategyConfig;
25
26/// Configuration for the Hurst/VPIN directional strategy.
27///
28/// Combines a rescaled-range Hurst regime filter on dollar bars with a
29/// VPIN-derived informed-flow signal, and gates entry timing on the
30/// live quote stream.
31#[derive(Debug, Clone, bon::Builder)]
32#[cfg_attr(
33    feature = "python",
34    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.trading", from_py_object)
35)]
36#[cfg_attr(
37    feature = "python",
38    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.trading")
39)]
40pub struct HurstVpinDirectionalConfig {
41    /// Base strategy configuration.
42    #[builder(default = StrategyConfig {
43        strategy_id: Some(StrategyId::from("HURST_VPIN-001")),
44        order_id_tag: Some("001".to_string()),
45        ..Default::default()
46    })]
47    pub base: StrategyConfig,
48    /// Instrument to subscribe to and trade.
49    pub instrument_id: InstrumentId,
50    /// Dollar bar type (value aggregation sourced from trades).
51    pub bar_type: BarType,
52    /// Order quantity for each entry.
53    pub trade_size: Quantity,
54    /// Rolling window of dollar bar returns used to estimate the Hurst exponent.
55    #[builder(default = 128)]
56    pub hurst_window: usize,
57    /// Lag set used for rescaled range regression.
58    #[builder(default = vec![4, 8, 16, 32])]
59    pub hurst_lags: Vec<usize>,
60    /// Hurst threshold for entering a position (trending regime).
61    #[builder(default = 0.55)]
62    pub hurst_enter: f64,
63    /// Hurst threshold for exiting an open position (regime decay).
64    #[builder(default = 0.50)]
65    pub hurst_exit: f64,
66    /// Number of completed volume buckets averaged for VPIN.
67    #[builder(default = 50)]
68    pub vpin_window: usize,
69    /// Minimum VPIN value required to treat a bucket imbalance as informed flow.
70    #[builder(default = 0.30)]
71    pub vpin_threshold: f64,
72    /// Maximum time (seconds) a position is held before forced flatten.
73    #[builder(default = 3600)]
74    pub max_holding_secs: u64,
75}
nautilus_trading/examples/strategies/hurst_vpin_directional/config.rs

nautilus_trading/examples/strategies/hurst_vpin_directional/
config.rs
