Struct AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy 

pub struct AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy {
    pub params: AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters,
    pub bid_spread_table: Arc<LookupTable>,
    pub ask_spread_table: Arc<LookupTable>,
    /* private fields */
}

Avellaneda-Stoikov strategy driven by precomputed FDM bilateral-Hawkes-with-OFI spreads.

On every tick the strategy:

1. Reads hawkes_buy_intensity (lambda+) and hawkes_sell_intensity (lambda-) from obs.parameters.
2. Interpolates the 4-D FDM spread tables at (q, lambda+, lambda-, tau).
3. Places bid/ask orders at mid -/+ interpolated_spread.

The spreads embed the adverse-selection response to order flow imbalance, automatically skewing quotes when one side is more toxic than the other.

Table format

Both tables must be 4-dimensional with axes [q, lambda+, lambda-, tau]:

• axis 0: inventory grid (e.g. -10..10, 21 points)
• axis 1: buy-side intensity grid (e.g. 0.0..8.0, 40 points)
• axis 2: sell-side intensity grid (e.g. 0.0..8.0, 40 points)
• axis 3: time remaining in seconds (0.0..T_HORIZON)

Fields

params: AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters

bid_spread_table: Arc<LookupTable>

4D lookup table for the bid half-spread: axes [q, lambda+, lambda-, tau].

ask_spread_table: Arc<LookupTable>

4D lookup table for the ask half-spread: axes [q, lambda+, lambda-, tau].

Implementations

impl AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy

pub fn new( params: AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters, bid_spread_table: Arc<LookupTable>, ask_spread_table: Arc<LookupTable>, ) -> Self

Trait Implementations

impl Clone for AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy

fn clone(&self) -> AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Strategy for AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy

fn on_tick(&mut self, obs: &Observation, requests: &mut Vec<OrderRequest>)

Called each tick with the agent’s filtered observation. Appends order requests (New, Cancel, CancelAll) to the provided buffer.

fn as_any(&self) -> &dyn Any

Downcast helper — returns self as &dyn Any.

fn as_any_mut(&mut self) -> &mut dyn Any

Downcast helper — returns self as &mut dyn Any.