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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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fuzz/fuzz_targets/indicator_update_orderbook.rs
+2 -1
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@@ -12,7 +12,7 @@
use libfuzzer_sys::fuzz_target;
use wickra_core::{
BatchExt, Indicator, Level, Microprice, OrderBook, OrderBookImbalanceFull,
BatchExt, DepthSlope, Indicator, Level, Microprice, OrderBook, OrderBookImbalanceFull,
OrderBookImbalanceTop1, OrderBookImbalanceTopN, QuotedSpread,
};
@@ -51,4 +51,5 @@ fuzz_target!(|data: &[u8]| {
drive(OrderBookImbalanceFull::new, &books);
drive(Microprice::new, &books);
drive(QuotedSpread::new, &books);
drive(DepthSlope::new, &books);
});