Struct AvellanedaStoikovHestonStrategy 

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

Avellaneda-Stoikov strategy driven by precomputed FDM Heston spreads.

On every tick the strategy:

1. Reads variance v = obs.volatility^2 (obs.volatility = sqrt(v_t) from HestonProcess).
2. Interpolates the FDM spread tables at (q, v, tau).
3. Places bid/ask orders at mid +/- interpolated_spread.

Table format

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

• axis 0: inventory grid (e.g. -10..10)
• axis 1: variance grid (e.g. 0.0001..0.05, matching v_theta of the Heston model)
• axis 2: time remaining in model seconds (0.0..T_HORIZON, increasing)

Use build_heston_tables from heston_param_sweep.rs to generate compatible tables.

Fields

params: AvellanedaStoikovHestonParameters

bid_spread_table: Arc<LookupTable>

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

ask_spread_table: Arc<LookupTable>

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

Implementations

impl AvellanedaStoikovHestonStrategy

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

Trait Implementations

impl Clone for AvellanedaStoikovHestonStrategy

fn clone(&self) -> AvellanedaStoikovHestonStrategy

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Strategy for AvellanedaStoikovHestonStrategy

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.