Struct StochasticMatcher 

pub struct StochasticMatcher { /* private fields */ }

Implementations

impl StochasticMatcher

pub fn new(dt: f64, k: f64, a: f64) -> Self

pub fn with_hawkes(self, alpha: f64, beta: f64) -> Self

Enable Hawkes self-excitation for fill arrivals.

Each fill boosts the effective arrival rate by alpha. The boost decays exponentially at rate beta (per second). The branching ratio alpha/beta must be < 1 for stationarity.

pub fn with_bilateral_hawkes(self, alpha: f64, beta: f64) -> Self

Enable bilateral (2D) Hawkes: separate intensities for buy and sell arrivals.

dλ+ = β(μ − λ+)dt + α dN+ (buy side, excited only by buy fills) dλ- = β(μ − λ-)dt + α dN- (sell side, excited only by sell fills)

where μ = a (the baseline rate), α = alpha, β = beta. Branching ratio alpha/beta must be < 1 for stationarity.

pub fn with_initial_hawkes_intensity(self, lambda0: f64) -> Self

Initialize unilateral Hawkes so effective intensity starts at lambda0.

Keeps baseline a unchanged and adjusts only the excitation state.

pub fn with_initial_bilateral_hawkes_intensities( self, lambda_buy0: f64, lambda_sell0: f64, ) -> Self

Initialize bilateral Hawkes so buy/sell effective intensities start at (lambda_buy0, lambda_sell0).

Keeps baseline a unchanged and adjusts only side-specific excitations.

pub fn with_rng(self, rng: StdRng) -> Self

Seed this matcher with an explicit RNG (for reproducible, Send-safe copies).

pub fn effective_a(&self) -> f64

Current effective arrival rate (base + Hawkes excitation).

pub fn hawkes_excitation(&self) -> f64

Current Hawkes excitation level (0 when disabled or quiescent).

pub fn effective_a_buy(&self) -> f64

Current effective buy-side arrival rate in bilateral mode.

pub fn effective_a_sell(&self) -> f64

Current effective sell-side arrival rate in bilateral mode.

Trait Implementations

impl Matcher for StochasticMatcher

fn add_order(&mut self, order: Order)

Adds a new order to the matcher

fn cancel_order(&mut self, order_id: u64)

Cancels a specific order by ID

fn cancel_all(&mut self)

Cancels all open orders

fn process_quote(&mut self, state: &MarketState) -> Vec<FillEvent>

Processes a new quote against open orders and returns any fill events

fn get_orders(&self) -> &Vec<Order>

Returns a reference to the current list of orders

fn augment_parameters(&self) -> HashMap<String, f64>

Returns runtime state parameters to be injected into each tick’s MarketState before strategies are called. The default returns an empty map; override in matchers that carry observable state (e.g. Hawkes intensity).