| 361 | } |
| 362 | |
| 363 | pub fn get_vpin(volume: &[f64], buy_volume: &[f64], window: usize) -> Vec<f64> { |
| 364 | let sell_volume: Vec<f64> = volume.iter().zip(buy_volume.iter()).map(|(v, b)| v - b).collect(); |
| 365 | let imbalance: Vec<f64> = |
| 366 | buy_volume.iter().zip(sell_volume.iter()).map(|(b, s)| (b - s).abs()).collect(); |
| 367 | let mut out = vec![NAN; volume.len()]; |
| 368 | for i in 0..volume.len() { |
| 369 | if i + 1 < window { |
| 370 | continue; |
| 371 | } |
| 372 | let start = i + 1 - window; |
| 373 | let imb_slice = &imbalance[start..=i]; |
| 374 | let vol = volume[i]; |
| 375 | if vol == 0.0 || imb_slice.iter().any(|v| v.is_nan()) { |
| 376 | continue; |
| 377 | } |
| 378 | let mean_imb = imb_slice.iter().sum::<f64>() / window as f64; |
| 379 | out[i] = mean_imb / vol; |
| 380 | } |
| 381 | out |
| 382 | } |
| 383 | |
| 384 | pub fn get_bvc_buy_volume(close: &[f64], volume: &[f64], window: usize) -> Vec<f64> { |
| 385 | let mut out = vec![NAN; close.len()]; |