Skip to main content

AvellanedaStoikovBilateralHawkesParameters

engine::strategies::avellaneda_stoikov_bilateral_hawkes

Struct AvellanedaStoikovBilateralHawkesParameters 

Source 
pub struct AvellanedaStoikovBilateralHawkesParameters {
    pub t_horizon: f64,
    pub base_intensity_buy: f64,
    pub base_intensity_sell: f64,
}
Expand description

Parameters for the bilateral Hawkes FDM strategy.

The strategy uses two precomputed FDM lookup tables indexed by [inventory q, buy intensity lambda+, sell intensity lambda-, time remaining tau]. The tables are generated by solving the bilateral Hawkes HJB PDE offline via BilateralHawkes model + PolicyIterationSolver::solve_all_steps.

Fields§

§t_horizon: f64

Trading horizon in model seconds – must match the tau axis of the tables.

§base_intensity_buy: f64

Fallback buy-side intensity when hawkes_buy_intensity is absent. Typically set to the baseline mu of the Hawkes process.

§base_intensity_sell: f64

Fallback sell-side intensity when hawkes_sell_intensity is absent.

Trait Implementations§

Source§

impl Clone for AvellanedaStoikovBilateralHawkesParameters

Source§

fn clone(&self) -> AvellanedaStoikovBilateralHawkesParameters

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
Source§

impl Debug for AvellanedaStoikovBilateralHawkesParameters

Source§

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

Blanket Implementations§

§

impl<T> Allocation for T
where T: RefUnwindSafe + Send + Sync,

Source§

impl<T> Any for T
where T: 'static + ?Sized,

Source§

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
Source§

impl<T> Borrow<T> for T
where T: ?Sized,

Source§

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
Source§

impl<T> BorrowMut<T> for T
where T: ?Sized,

Source§

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
§

impl<ST, DT> CastableFrom<ST, Initialized, Initialized> for DT
where ST: ?Sized, DT: ?Sized,

§

impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
where ST: ?Sized, DT: ?Sized,

Source§

impl<T> CloneToUninit for T
where T: Clone,

Source§

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
Source§

impl<T> From<T> for T

Source§

fn from(t: T) -> T

Returns the argument unchanged.

Source§

impl<T, U> Into<U> for T
where U: From<T>,

Source§

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

Source§

impl<T> IntoEither for T

Source§

fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
§

impl<T> Pointable for T

§

const ALIGN: usize

The alignment of pointer.
§

type Init = T

The type for initializers.
§

unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more
§

unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more
§

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more
§

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more
§

impl<T> Read<Exclusive, BecauseExclusive> for T
where T: ?Sized,

Source§

impl<T> ToOwned for T
where T: Clone,

Source§

type Owned = T

The resulting type after obtaining ownership.
Source§

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
Source§

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
Source§

impl<T, U> TryFrom<U> for T
where U: Into<T>,

Source§

type Error = Infallible

The type returned in the event of a conversion error.
Source§

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
Source§

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

Source§

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
Source§

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
§

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

§

fn vzip(self) -> V