opendeviationbar-core

Core algorithm for non-lookahead open deviation bar construction from tick data, with 10 intra-bar and 16 inter-bar microstructure features computed during bar construction.

Installation

From crates.io

[dependencies]
opendeviationbar-core = "12"

From git (latest)

[dependencies]
opendeviationbar-core = { git = "https://github.com/terrylica/opendeviationbar-py", path = "crates/opendeviationbar-core" }

Quick Start

use opendeviationbar_core::{OpenDeviationBarProcessor, AggTrade, FixedPoint};

// Create processor: 250 dbps = 0.25% threshold
let mut processor = OpenDeviationBarProcessor::new(250)?;

// Process a batch of trades
let bars = processor.process_agg_trade_records(&trades)?;

for bar in &bars {
    println!(
        "O={} H={} L={} C={} V={} trades={}",
        bar.open.to_f64(), bar.high.to_f64(),
        bar.low.to_f64(), bar.close.to_f64(),
        bar.volume.to_f64(), bar.trade_count,
    );
}

Streaming (trade-by-trade)

use opendeviationbar_core::OpenDeviationBarProcessor;

let mut processor = OpenDeviationBarProcessor::new(250)?;

for trade in trades {
    if let Some(completed_bar) = processor.process_single_trade(trade) {
        // Bar completed — write to storage, emit to downstream
        store_bar(&completed_bar);
    }
}

// Check for incomplete bar at end of session
if let Some(incomplete) = processor.get_incomplete_bar() {
    println!("Incomplete bar: open={}", incomplete.open.to_f64());
}

Checkpoint (crash recovery)

use opendeviationbar_core::OpenDeviationBarProcessor;
use opendeviationbar_core::checkpoint::Checkpoint;

let mut processor = OpenDeviationBarProcessor::new(250)?;

// ... process some trades ...

// Save state
let checkpoint = processor.create_checkpoint();
let json = serde_json::to_string(&checkpoint)?;

// Later: restore from checkpoint
let restored_checkpoint: Checkpoint = serde_json::from_str(&json)?;
let mut restored = OpenDeviationBarProcessor::from_checkpoint(restored_checkpoint)?;

// Continue processing from where we left off
let bars = restored.process_agg_trade_records(&more_trades)?;

Threshold Units

All thresholds use decimal basis points (dbps): 1 dbps = 0.001% = 0.00001.

Features

Microstructure Features

10 intra-bar features computed during bar construction (zero additional passes):

ofi, vwap_close_deviation, kyle_lambda_proxy, trade_intensity, volume_per_trade, aggression_ratio, aggregation_density, turnover_imbalance, duration_us, price_impact

16 inter-bar lookback features from trades before each bar opens:

lookback_ofi, lookback_intensity, lookback_kyle_lambda, lookback_burstiness, lookback_hurst, lookback_permutation_entropy, and 10 more.

MSRV

Minimum supported Rust version: 1.90

License

MIT