Function get_roll_measure

crates/openquant/src/microstructural_features.rs:29–43

(close: &[f64], window: usize)

}

pub fn get_roll_measure(close: &[f64], window: usize) -> Vec<f64> {
    if close.len() < 2 {
        return vec![NAN; close.len()];
    }
    let mut diff = vec![NAN; close.len()];
    for i in 1..close.len() {
        diff[i] = close[i] - close[i - 1];
    }
    let mut diff_lag = vec![NAN; close.len()];
    for i in 1..diff.len() {
        diff_lag[i] = diff[i - 1];
    }
    let cov = rolling_cov(&diff, &diff_lag, window);
    cov.iter().map(|c| if c.is_nan() { NAN } else { 2.0 * (c.abs()).sqrt() }).collect()
}

pub fn get_roll_impact(close: &[f64], dollar_volume: &[f64], window: usize) -> Vec<f64> {
    let roll = get_roll_measure(close, window);