chapaty 1.3.0

An event-driven Rust engine for building and evaluating quantitative trading agents. Features a Gym-style API for algorithmic backtesting and reinforcement learning.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147

/// Macro to implement `From<T>` for newtype wrappers around primitive types.
#[macro_export]
macro_rules! impl_from_primitive {
    ($wrapper:ident, $primitive:ty) => {
        impl From<$primitive> for $wrapper {
            fn from(value: $primitive) -> Self {
                Self(value)
            }
        }

        impl From<$wrapper> for $primitive {
            fn from(wrapper: $wrapper) -> Self {
                wrapper.0
            }
        }
    };
}

/// Macro to implement `Add`, `Sub`, `Mul`, `Div`, and `Sum` traits for newtype
/// wrappers around numeric types, including support for adding a primitive type
/// directly.
#[macro_export]
macro_rules! impl_add_sub_mul_div_primitive {
    ($wrapper:ident, $primitive:ty) => {
        impl std::ops::Add for $wrapper {
            type Output = Self;

            fn add(self, other: Self) -> Self {
                Self(self.0 + other.0)
            }
        }

        impl std::ops::Add<$primitive> for $wrapper {
            type Output = Self;

            fn add(self, rhs: $primitive) -> Self::Output {
                Self(self.0 + rhs)
            }
        }

        impl std::ops::AddAssign<$primitive> for $wrapper {
            fn add_assign(&mut self, rhs: $primitive) {
                self.0 += rhs;
            }
        }

        impl std::ops::Sub for $wrapper {
            type Output = Self;

            fn sub(self, other: Self) -> Self {
                Self(self.0 - other.0)
            }
        }

        impl std::ops::Mul for $wrapper {
            type Output = Self;

            fn mul(self, other: Self) -> Self {
                Self(self.0 * other.0)
            }
        }

        impl std::ops::Div for $wrapper {
            type Output = Self;

            fn div(self, other: Self) -> Self {
                Self(self.0 / other.0)
            }
        }

        impl std::iter::Sum for $wrapper {
            fn sum<I: Iterator<Item = Self>>(iter: I) -> Self {
                iter.fold(Self(0 as $primitive), |acc, x| Self(acc.0 + x.0))
            }
        }
    };
}

/// Macro to implement an `abs` method for newtype wrappers around numeric
/// types.
#[macro_export]
macro_rules! impl_abs_primitive {
    ($wrapper:ident, $primitive:ty) => {
        impl $wrapper {
            /// Returns the absolute value of the wrapped primitive.
            #[must_use]
            pub const fn abs(self) -> Self {
                Self(self.0.abs())
            }
        }
    };
}

/// Macro to implement the `Neg` trait for newtype wrappers around numeric
/// types.
#[macro_export]
macro_rules! impl_neg_primitive {
    ($wrapper:ident, $primitive:ty) => {
        impl std::ops::Neg for $wrapper {
            type Output = Self;

            fn neg(self) -> Self::Output {
                Self(-self.0)
            }
        }
    };
}

/// Macro to implement `min` and `max` methods for newtype wrappers around
/// numeric types.
#[macro_export]
macro_rules! impl_min_max_primitive {
    ($wrapper:ident, $primitive:ty) => {
        impl $wrapper {
            /// Returns the minimum of `self` and `other`.
            #[must_use]
            pub const fn min(self, other: Self) -> Self {
                Self(self.0.min(other.0))
            }

            /// Returns the maximum of `self` and `other`.
            #[must_use]
            pub const fn max(self, other: Self) -> Self {
                Self(self.0.max(other.0))
            }
        }
    };
}

#[macro_export]
macro_rules! assert_f64_eq {
    ($left:expr, $right:expr $(,)?) => {
        let left_val = $left;
        let right_val = $right;
        assert!(
            (left_val - right_val).abs() < f64::EPSILON,
            "assertion failed: `(left == right)`\n  left: `{:?}`,\n right: `{:?}`",
            left_val,
            right_val
        );
    };
    ($left:expr, $right:expr, $($arg:tt)+) => {
        let left_val = $left;
        let right_val = $right;
        assert!((left_val - right_val).abs() < f64::EPSILON, $($arg)+);
    };
}