apple_quant_algorithmic/aggregation/
trade.rs

1use rust_decimal::Decimal;
2use smallvec::SmallVec;
3
4use crate::{
5	instrument::{InstrumentData, InstrumentSpec},
6	timestamp::{Timestamp, Timestamped, TradeTimestamp, TradeTimestamped},
7	aggregation::Aggregator, aggregation_std::StdTrades, price::AbsolutePrice,
8	volume::AggressiveVolume,
9};
10
11pub type TradeTradeTimestampListInline<IS, const N: usize> = SmallVec<[TradeTradeTimestamp<IS>; N]>;
12
13pub type TradeTradeTimestampList<IS> = Vec<TradeTradeTimestamp<IS>>;
14
15#[derive(Debug)]
16pub struct RuntimeTrade {
17	pub price: Decimal,
18	pub volume: Decimal,
19}
20
21#[derive(Debug, Clone, Copy, PartialEq, Eq)]
22pub struct Trade<IS: InstrumentSpec> {
23	pub price: AbsolutePrice<IS>,
24	pub aggressive_volume: AggressiveVolume<IS>,
25}
26
27impl<IS: InstrumentSpec> Trade<IS> {
28	pub fn as_runtime(
29		&self,
30	) -> RuntimeTrade {
31		RuntimeTrade {
32			price: self.price.as_decimal(),
33			volume: self.aggressive_volume
34				.as_directional_intent_volume()
35				.directional_intent.as_decimal(),
36		}
37	}
38}
39
40/// Collection of both price and timestamp information.
41#[derive(Debug, Clone, Copy, Eq)]
42pub struct TradeTradeTimestamp<IS: InstrumentSpec> {
43	trade: Trade<IS>,
44	trade_timestamp: TradeTimestamp,
45}
46
47impl<IS: InstrumentSpec> TradeTradeTimestamp<IS> {
48	pub fn new(
49		trade: Trade<IS>,
50		trade_timestamp: TradeTimestamp,
51	) -> Self {
52		Self { trade, trade_timestamp }
53	}
54
55	pub fn trade(
56		&self,
57	) -> &Trade<IS> {
58		&self.trade
59	}
60}
61
62impl<IS: InstrumentSpec> TradeTimestamped for TradeTradeTimestamp<IS> {
63	fn trade_timestamp(
64		&self,
65	) -> TradeTimestamp {
66		self.trade_timestamp
67	}
68}
69
70impl<IS: InstrumentSpec> Timestamped for TradeTradeTimestamp<IS> {
71	fn timestamp(
72		&self,
73	) -> Timestamp {
74		self.trade_timestamp.timestamp()
75	}
76}
77
78impl<
79	'instrument_data,
80	'aggregated_data,
81	IS: InstrumentSpec + 'aggregated_data,
82> Aggregator<
83	'instrument_data,
84	'aggregated_data,
85	Self,
86	StdTrades<'instrument_data, IS>,
87	IS,
88> for TradeTradeTimestamp<IS> {
89	fn hot_data<'iter>(
90		instrument_data: &'instrument_data InstrumentData<
91			'instrument_data,
92			'aggregated_data,
93			IS,
94		>,
95		_recent_aggregated_data_backward: impl Iterator<Item = &'iter Self>,
96	) -> StdTrades<'instrument_data, IS>
97	where
98		Self: 'iter,
99	{
100		StdTrades::<'instrument_data, IS>::new_aggregate::<Self>(instrument_data)
101	}
102
103	fn aggregate_hot(
104		aggregator_data: &StdTrades<'instrument_data, IS>,
105	) -> impl Iterator<Item = Self> {
106		aggregator_data.iter().cloned()
107	}
108}
109
110impl<IS: InstrumentSpec> Ord for TradeTradeTimestamp<IS> {
111	fn cmp(
112		&self,
113		other: &Self,
114	) -> std::cmp::Ordering {
115		self.trade_timestamp.cmp(&other.trade_timestamp)
116	}
117}
118
119impl<IS: InstrumentSpec> PartialOrd for TradeTradeTimestamp<IS> {
120	fn partial_cmp(
121		&self,
122		other: &Self,
123	) -> Option<std::cmp::Ordering> {
124		self.trade_timestamp.partial_cmp(&other.trade_timestamp)
125	}
126}
127
128impl<IS: InstrumentSpec> PartialEq for TradeTradeTimestamp<IS> {
129	fn eq(
130		&self,
131		other: &Self,
132	) -> bool {
133		self.trade_timestamp.eq(&other.trade_timestamp)
134	}
135}
apple_quant_algorithmic/aggregation/trade.rs

apple_quant_algorithmic/aggregation/
trade.rs
