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get_roll_impact

Function get_roll_impact 

Source
pub fn get_roll_impact(
    close: &[f64],
    dollar_volume: &[f64],
    window: usize,
) -> Result<Vec<f64>, InputError>
Expand description

Roll measure divided by the bar’s dollar volume: spread cost per unit of dollar volume (AFML §19.3.2).

Element-wise get_roll_measure(close, window) / dollar_volume; NaN where the Roll measure is NaN or the dollar volume is zero.

§Errors

InputError::LengthMismatch if dollar_volume.len() != close.len().