avin_core

Struct Cluster

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pub struct Cluster {
Show 22 fields
    pub ts_nanos: i64,
    pub open: f64,
    pub high: f64,
    pub low: f64,
    pub close: f64,
    pub vol: u64,
    pub vol_b: u64,
    pub vol_s: u64,
    pub val: f64,
    pub val_b: f64,
    pub val_s: f64,
    pub count: u64,
    pub count_b: u64,
    pub count_s: u64,
    pub vwap: f64,
    pub vwap_b: f64,
    pub vwap_s: f64,
    pub buy_p: f64,
    pub sell_p: f64,
    pub disb_p: f64,
    pub pct: f64,
    pub quantum: Quantum,

}
Expand description

Set of metrics calculated on tics.

§ru

Группа метрик рассчитанных на тиках за определенный период (таймфрейм).

Отдельной частью является Quantum, который состоит из crate::Quant. Все это разные метрики над одними и теми же тиками разбитыми по таймфреймам.

Quant - это ценовой уровень. Внутри него посчитано раздельно количество продаж и покупок именно по этой цене. Группа квантов в пределах одного бара объединяется в Quantum.

Остальные метрики рассчитаны по всем тикам в целом, без привязки к конкретной цене.

Fields§

§ts_nanos: i64§open: f64§high: f64§low: f64§close: f64§vol: u64§vol_b: u64§vol_s: u64§val: f64§val_b: f64§val_s: f64§count: u64§count_b: u64§count_s: u64§vwap: f64§vwap_b: f64§vwap_s: f64§buy_p: f64§sell_p: f64§disb_p: f64§pct: f64§quantum: Quantum

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impl Cluster

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pub fn new(tics: &[Tic], tf: TimeFrame) -> Cluster

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pub fn schema() -> Schema

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pub fn df(&self) -> DataFrame

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pub fn dt(&self) -> DateTime<Utc>

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pub fn dt_local(&self) -> NaiveDateTime

Trait Implementations§

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impl Debug for Cluster

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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