Struct AvellanedaStoikovHawkesStrategy 

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

Avellaneda-Stoikov strategy driven by precomputed FDM Hawkes spreads.

On every tick the strategy:

1. Reads hawkes_intensity from obs.parameters (injected by the engine from StochasticMatcher::augment_parameters).
2. Interpolates the FDM spread tables at (q, lambda, tau).
3. Places bid/ask orders at mid +/- interpolated_spread.

Table format

Both tables must be 3-dimensional with axes [q, lambda, tau]:

• axis 0: inventory grid (same range used by the FDM solver, e.g. -10..10)
• axis 1: Hawkes intensity grid (e.g. 0.0 .. lambda_max)
• axis 2: time remaining in seconds (0.0 .. T, increasing)

Use examples/gen_hawkes_table.rs to generate compatible .bin files.

Fields

params: AvellanedaStoikovHawkesParameters

bid_spread_table: Arc<LookupTable>

3D lookup table for the bid half-spread: axes [q, lambda, tau].

ask_spread_table: Arc<LookupTable>

3D lookup table for the ask half-spread: axes [q, lambda, tau].

Implementations

impl AvellanedaStoikovHawkesStrategy

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

pub fn load( params: AvellanedaStoikovHawkesParameters, bid_path: &Path, ask_path: &Path, ) -> Result<Self, Box<dyn Error>>

Load both spread tables from .bin files produced by the table generation example.

Trait Implementations

impl Clone for AvellanedaStoikovHawkesStrategy

fn clone(&self) -> AvellanedaStoikovHawkesStrategy

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Strategy for AvellanedaStoikovHawkesStrategy

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.