foxhunt/crates/ml/src/microstructure/kyle_lambda.rs

//! # Kyle's Lambda Estimator
//!
//! Implementation of Kyle's Lambda for measuring price impact and 
//! information asymmetry in financial markets.
//!
//! ## Algorithm
//!
//! Kyle's Lambda (λ) measures the price impact per unit of signed order flow:
//! - Returns = λ × SignedOrderFlow + ε
//! - λ is estimated via regression of returns on signed square-root dollar volume
//! - Higher λ indicates greater price impact (lower liquidity)
//!
//! ## Performance
//!
//! - Target latency: <25μs per calculation
//! - Rolling regression with fixed-point arithmetic
//! - Efficient covariance calculation updates

use std::collections::VecDeque;
use std::sync::atomic::{AtomicI64, AtomicU64, Ordering};

use serde::{Deserialize, Serialize};

use super::*;
use super::{


    #[test]
    fn test_kyle_lambda_estimator_creation() {
        let estimator = KyleLambdaEstimator::default();
        assert_eq!(estimator.get_lambda(), 0.0);
        assert_eq!(estimator.get_interval_count(), 0);
        assert_eq!(estimator.get_r_squared(), 0.0);
    }
    
    #[test]
    fn test_trading_interval() {
        let mut interval = TradingInterval::new(0, 1000000, 2000000);
        
        let update = MarketDataUpdate {
            timestamp: 1500000,
            symbol: "AAPL".to_owned(),
            price: 150000,
            volume: 1000,
            bid: 149000,
            ask: 151000,
            bid_size: 100,
            ask_size: 100,
            direction: Some(TradeDirection::Buy),
        };
        
        interval.add_trade(&update);
        
        assert_eq!(interval.trade_count, 1);
        assert_eq!(interval.open_price, 150000);
        assert_eq!(interval.close_price, 150000);
        assert!(interval.signed_sqrt_dollar_volume > 0); // Buy trade
        
        interval.finalize();
        assert!(interval.is_valid());
    }
    
    #[test]
    fn test_lambda_calculation() {
        let config = KyleLambdaConfig {
            interval_duration_ns: 1000000, // 1ms for testing
            min_trades_per_interval: 1,
            regression_window: 5,
            ..Default::default()
        };
        
        let mut estimator = KyleLambdaEstimator::new(config);
        
        // Add trades with price impact pattern
        for i in 0..20 {
            let price_impact = if i % 2 == 0 { 100 } else { -100 };
            let direction = if i % 2 == 0 { TradeDirection::Buy } else { TradeDirection::Sell };
            
            let update = MarketDataUpdate {
                timestamp: (i * 2000000) as u64, // 2ms intervals
                symbol: "AAPL".to_owned(),
                price: 150000 + price_impact,
                volume: 1000,
                bid: 149000,
                ask: 151000,
                bid_size: 100,
                ask_size: 100,
                direction: Some(direction),
            };
            
            estimator.update(&update)?;
        }
        
        // Should have calculated lambda
        let result = estimator.get_result();
        assert!(result.interval_count > 0);
        
        // Lambda should be non-zero if there's a price impact pattern
        // (exact value depends on the specific pattern)
        println!("Lambda: {}, R²: {}", result.lambda, result.r_squared);
    }
    
    #[test]
    fn test_information_asymmetry() {
        let mut estimator = KyleLambdaEstimator::default();
        
        // Add persistent positive returns (trend)
        for i in 0..10 {
            let update = MarketDataUpdate {
                timestamp: (i * 300_000_000_000) as u64, // 5 min intervals
                symbol: "AAPL".to_owned(),
                price: 150000 + (i * 100), // Trending up
                volume: 1000,
                bid: 149000,
                ask: 151000,
                bid_size: 100,
                ask_size: 100,
                direction: Some(TradeDirection::Buy),
            };
            
            estimator.update(&update)?;
        }
        
        let info_asymmetry = estimator.get_information_asymmetry();
        assert!(info_asymmetry >= 0.0); // Should detect some persistence
    }
}