Crate RustQuant_data

Data management module.

‘Data’ includes data used for pricing, such as curves and surfaces.

Disabled by default, due to Polars increasing compile times.

You can:

• Download data from Yahoo! Finance into a Polars DataFrame.
• Compute returns on the DataFrame you just downloaded.

use RustQuant::data::*;
use time::macros::date;

// New YahooFinanceData instance.
// By default, date range is: 1970-01-01 to present.
let mut yfd = YahooFinanceData::new("AAPL".to_string());

// Can specify custom dates (optional).
yfd.set_start_date(time::macros::datetime!(2019 - 01 - 01 0:00 UTC));
yfd.set_end_date(time::macros::datetime!(2020 - 01 - 01 0:00 UTC));

// Download the historical data.
yfd.get_price_history();

// Compute the returns.
// Specify the type of returns to compute (Simple, Logarithmic, Absolute)
// You don't need to run .get_price_history() first, .compute_returns()
// will do it for you if necessary.
yfd.compute_returns(ReturnsType::Logarithmic);

println!("Apple's quotes: {:?}", yfd.price_history);
println!("Apple's returns: {:?}", yfd.returns);

Apple's quotes: Some(shape: (252, 7)
┌────────────┬───────────┬───────────┬───────────┬───────────┬────────────┬───────────┐
│ date       ┆ open      ┆ high      ┆ low       ┆ close     ┆ volume     ┆ adjusted  │
│ ---        ┆ ---       ┆ ---       ┆ ---       ┆ ---       ┆ ---        ┆ ---       │
│ date       ┆ f64       ┆ f64       ┆ f64       ┆ f64       ┆ f64        ┆ f64       │
╞════════════╪═══════════╪═══════════╪═══════════╪═══════════╪════════════╪═══════════╡
│ 2019-01-02 ┆ 38.7225   ┆ 39.712502 ┆ 38.557499 ┆ 39.48     ┆ 1.481588e8 ┆ 37.994499 │
│ 2019-01-03 ┆ 35.994999 ┆ 36.43     ┆ 35.5      ┆ 35.547501 ┆ 3.652488e8 ┆ 34.209969 │
│ 2019-01-04 ┆ 36.1325   ┆ 37.137501 ┆ 35.950001 ┆ 37.064999 ┆ 2.344284e8 ┆ 35.670372 │
│ 2019-01-07 ┆ 37.174999 ┆ 37.2075   ┆ 36.474998 ┆ 36.982498 ┆ 2.191112e8 ┆ 35.590965 │
│ …          ┆ …         ┆ …         ┆ …         ┆ …         ┆ …          ┆ …         │
│ 2019-12-26 ┆ 71.205002 ┆ 72.495003 ┆ 71.175003 ┆ 72.477501 ┆ 9.31212e7  ┆ 70.798401 │
│ 2019-12-27 ┆ 72.779999 ┆ 73.4925   ┆ 72.029999 ┆ 72.449997 ┆ 1.46266e8  ┆ 70.771545 │
│ 2019-12-30 ┆ 72.364998 ┆ 73.172501 ┆ 71.305    ┆ 72.879997 ┆ 1.441144e8 ┆ 71.191582 │
│ 2019-12-31 ┆ 72.482498 ┆ 73.419998 ┆ 72.379997 ┆ 73.412498 ┆ 1.008056e8 ┆ 71.711739 │
└────────────┴───────────┴───────────┴───────────┴───────────┴────────────┴───────────┘)

Apple's returns: Some(shape: (252, 7)
┌────────────┬────────────┬───────────────┬───────────────┬───────────────┬──────────────┬──────────────┐
│ date       ┆ volume     ┆ open_logarith ┆ high_logarith ┆ low_logarithm ┆ close_logari ┆ adjusted_log │
│ ---        ┆ ---        ┆ mic           ┆ mic           ┆ ic            ┆ thmic        ┆ arithmic     │
│ date       ┆ f64        ┆ ---           ┆ ---           ┆ ---           ┆ ---          ┆ ---          │
│            ┆            ┆ f64           ┆ f64           ┆ f64           ┆ f64          ┆ f64          │
╞════════════╪════════════╪═══════════════╪═══════════════╪═══════════════╪══════════════╪══════════════╡
│ 2019-01-02 ┆ 1.481588e8 ┆ null          ┆ null          ┆ null          ┆ null         ┆ null         │
│ 2019-01-03 ┆ 3.652488e8 ┆ -0.073041     ┆ -0.086273     ┆ -0.082618     ┆ -0.104924    ┆ -0.104925    │
│ 2019-01-04 ┆ 2.344284e8 ┆ 0.003813      ┆ 0.019235      ┆ 0.012596      ┆ 0.041803     ┆ 0.041803     │
│ 2019-01-07 ┆ 2.191112e8 ┆ 0.028444      ┆ 0.001883      ┆ 0.014498      ┆ -0.002228    ┆ -0.002229    │
│ …          ┆ …          ┆ …             ┆ …             ┆ …             ┆ …            ┆ …            │
│ 2019-12-26 ┆ 9.31212e7  ┆ 0.000457      ┆ 0.017709      ┆ 0.006272      ┆ 0.019646     ┆ 0.019646     │
│ 2019-12-27 ┆ 1.46266e8  ┆ 0.021878      ┆ 0.013666      ┆ 0.011941      ┆ -0.00038     ┆ -0.00038     │
│ 2019-12-30 ┆ 1.441144e8 ┆ -0.005718     ┆ -0.004364     ┆ -0.010116     ┆ 0.005918     ┆ 0.005918     │
│ 2019-12-31 ┆ 1.008056e8 ┆ 0.001622      ┆ 0.003377      ┆ 0.014964      ┆ 0.00728      ┆ 0.00728      │
└────────────┴────────────┴───────────────┴───────────────┴───────────────┴──────────────┴──────────────┘)

Read/write data

use RustQuant::data::*;

// New `Data` instance.
let mut data = Data::new(
    DataFormat::CSV,                        // Can also be JSON or PARQUET.
    String::from("./file/path/read.csv"),   // Path to read from.
);

// Read from the given file.
data.read().unwrap();

// New path to write the data to.
data.path = String::from("./file/path/write.csv");
data.write().unwrap();

println!("{:?}", data.data);

Re-exports

pub use io::*;

pub use yahoo::*;

pub use curves::*;

pub use market_data::*;

pub use context_data::*;

Modules

context_data

Context data structures and implementations. Contextual (reference) data container.

curves

Base curve data structure and implementations. Curves (in the financial sense) are functions that map a time to a value, such as a yield curve or a swap curve. They may also be known as term structures depending on the context. Curves module.

io

File reading and writing.

market_data

Market data structures and implementations. Market data container.

yahoo

Yahoo! Finance data reader. Module to fetch data from Yahoo! Finance, and store it in a Polars DataFrame object.