engine::strategies::avellaneda_stoikov_bilateral_hawkes_order_flow_imbalance

Struct AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters

pub struct AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters {
    pub t_horizon: f64,
    pub base_intensity_buy: f64,
    pub base_intensity_sell: f64,
}

Expand description

Parameters for the bilateral Hawkes with order flow imbalance 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 BilateralHawkesOrderFlowImbalance HJB PDE offline.

The key behavioral difference from plain BilateralHawkes:

Spreads adapt to order flow imbalance (lambda+ vs lambda-) with sensitivity parameter eta
When lambda+ > lambda- (toxic buying): widens ask, narrows bid
When lambda- > lambda+ (toxic selling): narrows ask, widens bid

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§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.

§base_intensity_sell: f64

Fallback sell-side intensity when hawkes_sell_intensity is absent.

Trait Implementations§

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impl Clone for AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters

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fn clone(&self) -> AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters

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

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impl Debug for AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters

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

Formats the value using the given formatter. Read more

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

🔬This is a nightly-only experimental API. (clone_to_uninit)

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