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InstrumentData

apple_quant_algorithmic::instrument

Struct InstrumentData 

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pub struct InstrumentData<'instrument_data: 'aggregated_data, 'aggregated_data, IS: InstrumentSpec> { /* private fields */ }
Expand description

Primary hot storage of securities enabled foundational data used for further aggregation and permanent storage.

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impl<'instrument_data, 'aggregated_data, IS: InstrumentSpec> InstrumentData<'instrument_data, 'aggregated_data, IS>

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pub fn new_trades_binned( &mut self, data: impl ExactSizeIterator<Item = TradeTradeTimestamp<IS>>, )

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pub fn walk_new_trades( &mut self, data: impl ExactSizeIterator<Item = TradeTradeTimestamp<IS>>, )

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pub fn initialize_walk(&mut self, start_timestamp: Timestamp)

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pub async fn walk<const INTERVAL_NS: u64>( &mut self, walk_end_timestamp: &Timestamp, ) -> Option<&Timestamp>

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pub fn iter_recent_latest_trades_forward( &self, ) -> impl ExactSizeIterator<Item = &TradeTradeTimestamp<IS>> + Clone

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pub fn iter_recent_trades_forward( &self, count: Option<usize>, ) -> impl ExactSizeIterator<Item = &TradeTradeTimestamp<IS>> + Clone

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pub fn iter_reaggregate_trade_forward<T: TradeTimestamped>( &self, aggregation: &T, ) -> impl Iterator<Item = &TradeTradeTimestamp<IS>>

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pub fn reaggregate_trade_forward_slice<T: TradeTimestamped>( &self, aggregation: &T, ) -> &[TradeTradeTimestamp<IS>]

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pub fn iter_recent_trades_backward( &self, count: Option<usize>, ) -> impl Iterator<Item = &TradeTradeTimestamp<IS>>

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pub fn trades_forward_slice_from<P: FnMut(&TradeTradeTimestamp<IS>) -> bool>( &self, exclude: P, ) -> &[TradeTradeTimestamp<IS>]

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pub fn trades_forward_slice(&self) -> &[TradeTradeTimestamp<IS>]

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pub fn trades_new_recent_forward_slice(&self) -> &[TradeTradeTimestamp<IS>]

Trait Implementations§

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impl<'instrument_data: 'aggregated_data, 'aggregated_data, IS: InstrumentSpec> Default for InstrumentData<'instrument_data, 'aggregated_data, IS>

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fn default() -> Self

Returns the “default value” for a type. Read more

Auto Trait Implementations§

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impl<'instrument_data, 'aggregated_data, IS> Freeze for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: Freeze, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: Freeze,

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impl<'instrument_data, 'aggregated_data, IS> RefUnwindSafe for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: RefUnwindSafe, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: RefUnwindSafe,

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impl<'instrument_data, 'aggregated_data, IS> Send for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: Send, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: Send,

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impl<'instrument_data, 'aggregated_data, IS> Sync for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: Sync, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: Sync,

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impl<'instrument_data, 'aggregated_data, IS> Unpin for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: Unpin, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: Unpin,

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impl<'instrument_data, 'aggregated_data, IS> UnsafeUnpin for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: UnsafeUnpin, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: UnsafeUnpin,

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impl<'instrument_data, 'aggregated_data, IS> UnwindSafe for InstrumentData<'instrument_data, 'aggregated_data, IS>
where Box<FixedHotData<'instrument_data, 'aggregated_data, 100, IS, StdTrades<'instrument_data, IS>, TradeTradeTimestamp<IS>>>: UnwindSafe, FlexBinnedTimePointData<'instrument_data, 'aggregated_data, IS, TradeTradeTimestamp<IS>, StdTrades<'instrument_data, IS>, const { Duration::hours(1) .num_nanoseconds() .unwrap() as u64 }>: UnwindSafe,

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fn instrument(self, span: Span) -> Instrumented<Self> ⓘ

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more
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Instruments this type with the current Span, returning an Instrumented wrapper. Read more
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