| namespace quant { | |
| struct MarketTick { | |
| double timestamp; | |
| double bid_price; | |
| double ask_price; | |
| double bid_size; | |
| double ask_size; | |
| double last_price; | |
| double last_volume; | |
| }; | |
| struct AlphaSignalPayload { | |
| double micro_price; | |
| double order_book_imbalance; | |
| double vwap; | |
| double rolling_volatility; | |
| double ema_9; | |
| double ema_21; | |
| double signal_score; | |
| }; | |
| class FastAlphaEngine { | |
| public: | |
| FastAlphaEngine(int window_size = 20); | |
| // Compute Micro-Price: P_micro = (Ask_Size * Bid_Price + Bid_Size * Ask_Price) / (Bid_Size + Ask_Size) | |
| static double calculate_micro_price(double bid_price, double ask_price, double bid_size, double ask_size); | |
| // Compute Order Book Imbalance (OBI): OBI = (Bid_Size - Ask_Size) / (Bid_Size + Ask_Size) | |
| static double calculate_obi(double bid_size, double ask_size); | |
| // Process a stream of market ticks and compute real-time Alpha Signals | |
| AlphaSignalPayload process_tick(const MarketTick& tick); | |
| // Fast vector calculations for Python Pandas integration | |
| static std::vector<double> fast_ema(const std::vector<double>& prices, int period); | |
| static std::vector<double> fast_vwap(const std::vector<double>& prices, const std::vector<double>& volumes); | |
| static std::vector<double> fast_order_flow_imbalance( | |
| const std::vector<double>& bid_prices, | |
| const std::vector<double>& ask_prices, | |
| const std::vector<double>& bid_sizes, | |
| const std::vector<double>& ask_sizes | |
| ); | |
| private: | |
| int window_size_; | |
| std::vector<double> price_history_; | |
| std::vector<double> volume_history_; | |
| double cum_pv_; | |
| double cum_vol_; | |
| }; | |
| } // namespace quant | |