apple_quant_algorithmic/aggregation/
trade.rs

1use rust_decimal::Decimal;
2
3use crate::{
4	aggregation::Aggregator,
5	aggregation_std::StdTrades,
6	instrument::{InstrumentData, InstrumentSpec},
7	price::AbsolutePrice,
8	timestamp::{TradeTimestamp, TradeTimestamped},
9	volume::AggressiveVolume,
10};
11
12#[derive(Debug)]
13pub struct RuntimeTrade {
14	pub price: Decimal,
15	pub volume: Decimal,
16}
17
18#[derive(Debug, Clone, Copy, PartialEq, Eq)]
19pub struct Trade<IS: InstrumentSpec> {
20	pub price: AbsolutePrice<IS>,
21	pub aggressive_volume: AggressiveVolume<IS>,
22}
23
24impl<IS: InstrumentSpec> Trade<IS> {
25	pub fn as_runtime(&self) -> RuntimeTrade {
26		RuntimeTrade {
27			price: self.price.as_decimal(),
28			volume: self
29				.aggressive_volume
30				.as_directional_intent_volume()
31				.directional_intent
32				.as_decimal(),
33		}
34	}
35}
36
37/// Collection of both price and timestamp information.
38#[derive(Debug, Clone, Copy, Eq)]
39pub struct TradeTradeTimestamp<IS: InstrumentSpec> {
40	trade: Trade<IS>,
41	trade_timestamp: TradeTimestamp,
42}
43
44impl<IS: InstrumentSpec> TradeTradeTimestamp<IS> {
45	pub fn new(
46		trade: Trade<IS>,
47		trade_timestamp: TradeTimestamp,
48	) -> Self {
49		Self { trade, trade_timestamp }
50	}
51
52	pub fn trade(&self) -> &Trade<IS> {
53		&self.trade
54	}
55}
56
57impl<IS: InstrumentSpec> TradeTimestamped for TradeTradeTimestamp<IS> {
58	fn trade_timestamp(&self) -> &TradeTimestamp {
59		&self.trade_timestamp
60	}
61}
62
63impl<'instrument_data, 'aggregated_data, IS: InstrumentSpec + 'aggregated_data>
64	Aggregator<'instrument_data, 'aggregated_data, Self, StdTrades<'instrument_data, IS>, IS>
65	for TradeTradeTimestamp<IS>
66{
67	fn hot_data<'iter>(
68		instrument_data: &'instrument_data InstrumentData<'instrument_data, 'aggregated_data, IS>,
69		_recent_aggregated_data_backward: impl Iterator<Item = &'iter Self>,
70	) -> StdTrades<'instrument_data, IS>
71	where
72		Self: 'iter,
73	{
74		StdTrades::<'instrument_data, IS>::new_aggregate::<Self>(instrument_data)
75	}
76
77	fn aggregate_hot(
78		aggregator_data: &StdTrades<'instrument_data, IS>
79	) -> impl Iterator<Item = Self> {
80		aggregator_data
81			.iter()
82			.cloned()
83	}
84}
85
86impl<IS: InstrumentSpec> Ord for TradeTradeTimestamp<IS> {
87	fn cmp(
88		&self,
89		other: &Self,
90	) -> std::cmp::Ordering {
91		self.trade_timestamp
92			.cmp(&other.trade_timestamp)
93	}
94}
95
96impl<IS: InstrumentSpec> PartialOrd for TradeTradeTimestamp<IS> {
97	fn partial_cmp(
98		&self,
99		other: &Self,
100	) -> Option<std::cmp::Ordering> {
101		self.trade_timestamp
102			.partial_cmp(&other.trade_timestamp)
103	}
104}
105
106impl<IS: InstrumentSpec> PartialEq for TradeTradeTimestamp<IS> {
107	fn eq(
108		&self,
109		other: &Self,
110	) -> bool {
111		self.trade_timestamp
112			.eq(&other.trade_timestamp)
113	}
114}
apple_quant_algorithmic/aggregation/trade.rs

apple_quant_algorithmic/aggregation/
trade.rs
