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feat: microstructure price-impact & depth indicators (part 3 of 4) (#122)

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* feat: effective spread microstructure indicator (part 3 of 4)

* feat: realized spread microstructure indicator (part 3 of 4)

* feat: kyle's lambda microstructure indicator (part 3 of 4)

* feat: depth slope microstructure indicator (part 3 of 4)
This commit is contained in:
kingchenc
2026-06-01 19:45:38 +02:00
committed by GitHub
parent b5d9e47a2e
commit 4f11df0e33
25 changed files with 1898 additions and 39 deletions
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bindings/python/tests/test_streaming_vs_batch.py
+17
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@@ -231,3 +231,20 @@ def test_tradeflow_streaming_matches_batch():
dtype=np.float64,
)
assert _equal_with_nan(batch, streamed)
def test_price_impact_streaming_matches_batch():
n = 30
mid = np.array([100.0 + 0.25 * math.sin(i * 0.5) for i in range(n)], dtype=np.float64)
is_buy = [i % 3 != 0 for i in range(n)]
price = np.array(
[mid[i] + (0.03 if is_buy[i] else -0.03) for i in range(n)], dtype=np.float64
)
size = np.array([1.0 + (i % 4) for i in range(n)], dtype=np.float64)
batch = ta.EffectiveSpread().batch(price, size, is_buy, mid)
streamer = ta.EffectiveSpread()
streamed = np.array(
[streamer.update(price[i], size[i], is_buy[i], mid[i]) for i in range(n)],
dtype=np.float64,
)
assert _equal_with_nan(batch, streamed)