44 implement market metrics based on research references #47
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metricsUpdated existing one as well, like Spread calculation, but added other ones like Tick size, this last one is a direct implementation of what is common to see in Market Microstructure literature.
metrics/moduleIn order to have a
marketand aorderbooklogic for the metrics, the first one is meant to be for those metrics that evolve in time, and/or is not bounded to be only through the usage of the orderbook struct. For the later, basically is to group metrics that are calculated using a single orderbook (static in time).examples/Created examples/market_metrics.rs to showcase the added functionality. Deleted and renamed other files for better accommodation of content.
tests/Particularly for the
metrics/orderbook.rcase.This PR closes #44