price

Documentation

Index

• Constants
• func AddSpread(price, spreadBps float64, direction SpreadDirection) float64
• func GetAbsoluteDistanceBps(mid, price1, price2 float64) float64
• func GetAbsoluteSpreadBps(mid, price float64) float64
• func GetDistanceBps(mid, price1, price2 float64) float64
• func GetSpreadBps(mid, price float64) float64
• func IsEmptyTwoWay[T instr.Instrument](price TwoWay[T]) bool
• func Skew(price, skewFactorBps float64) float64
• type SpreadDirection
• type TwoWay
  • func EmptyTwoWay[T instr.Instrument]() TwoWay[T]
  • func TwoWayFromTicker[T instr.Instrument](ticker ticker.Ticker[T]) *TwoWay[T]
  • func (price *TwoWay[T]) Equals(other TwoWay[T]) bool
  • func (price *TwoWay[T]) Mid() float64
  • func (price *TwoWay[T]) RawSpread() float64
  • func (price *TwoWay[T]) SpreadBps() float64

Constants

const (
	Up = SpreadDirection(iota + 1)
	Down
)

Functions

func AddSpread

func AddSpread(price, spreadBps float64, direction SpreadDirection) float64

func GetAbsoluteDistanceBps

func GetAbsoluteDistanceBps(mid, price1, price2 float64) float64

func GetAbsoluteSpreadBps

func GetAbsoluteSpreadBps(mid, price float64) float64

func GetDistanceBps

func GetDistanceBps(mid, price1, price2 float64) float64

func GetSpreadBps

func GetSpreadBps(mid, price float64) float64

func IsEmptyTwoWay

func IsEmptyTwoWay[T instr.Instrument](price TwoWay[T]) bool

func Skew

func Skew(price, skewFactorBps float64) float64

Types

type SpreadDirection

type SpreadDirection int

type TwoWay

type TwoWay[T instr.Instrument] struct {
	Instrument   T
	Bid          float64
	Offer        float64
	BidQty       float64
	OfferQty     float64
	TransactTime time.Time
}

func EmptyTwoWay

func EmptyTwoWay[T instr.Instrument]() TwoWay[T]

func TwoWayFromTicker

func TwoWayFromTicker[T instr.Instrument](ticker ticker.Ticker[T]) *TwoWay[T]

func (*TwoWay[T]) Equals

func (price *TwoWay[T]) Equals(other TwoWay[T]) bool

func (*TwoWay[T]) Mid

func (price *TwoWay[T]) Mid() float64

func (*TwoWay[T]) RawSpread

func (price *TwoWay[T]) RawSpread() float64

func (*TwoWay[T]) SpreadBps

func (price *TwoWay[T]) SpreadBps() float64