ursatoro/microstructure

Types

pub type TradeBar {
  TradeBar(
    buy_volume: Float,
    sell_volume: Float,
    total_volume: Float,
    price_change: Float,
  )
}

TradeBar(
  buy_volume: Float,
  sell_volume: Float,
  total_volume: Float,
  price_change: Float,
)

</>

pub fn amihud(
  prices: List(Float),
  volumes: List(Float),
  window window: Int,
) -> Result(List(Float), util.IndicatorError)

</>

pub fn roll_measure(
  prices: List(Float),
  window window: Int,
) -> Result(List(Float), util.IndicatorError)

</>

pub fn vpin(
  trade_bars: List(TradeBar),
  window window: Int,
) -> Result(List(Float), util.IndicatorError)