opendeviationbar-core 13.66.3

Core open deviation bar construction algorithm with temporal integrity guarantees
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

//! Core open deviation bar processing algorithms
//!
//! Non-lookahead bias open deviation bar construction with temporal integrity guarantees.
//!
//! ## Features
//!
//! - Non-lookahead bias: Thresholds computed only from bar open price
//! - Breach inclusion: Breaching trade included in closing bar
//! - Fixed thresholds: Never recalculated during bar lifetime
//! - Temporal integrity: Guaranteed correct historical simulation
//! - **Cross-file checkpoints**: Seamless continuation across file boundaries (v6.1.0+)
//! - **Arrow export**: Zero-copy streaming to Python via Arrow RecordBatch (v8.0.0+)

// Issue #147 (Phase 9): Use Mimalloc for high-performance memory allocation
// Expected 2-5x speedup on multithreaded workloads (entropy cache, trade accumulation)
#[cfg(not(target_env = "msvc"))]
#[global_allocator]
static GLOBAL: mimalloc::MiMalloc = mimalloc::MiMalloc;

pub mod checkpoint;
pub mod entropy_cache_global; // Issue #145: Multi-symbol entropy cache sharing (Phase 1)
pub mod errors;
pub mod export_processor; // Export-oriented processor (extracted Phase 2d)
pub mod fixed_point;
pub mod interbar; // Issue #59: Inter-bar microstructure features (lookback window BEFORE bar)
pub mod interbar_cache; // Issue #96 Task #144 Phase 4: Inter-bar feature result caching for streaming
pub mod interbar_math; // Issue #59: Inter-bar math helpers (extracted Phase 2e) - public for profiling/benchmarking
pub mod interbar_types; // Issue #59: Inter-bar type definitions (extracted Phase 2b)
pub mod intrabar; // Issue #59: Intra-bar features (trades WITHIN bar)
pub mod normalization_lut; // Issue #96 Task #197: Shared LUT optimization (sigmoid, tanh, CV sigmoid)
pub mod processor;
pub mod spread_accumulator;
pub mod timestamp;
pub mod trade; // Trade/DataSource types (extracted Phase 2c)
pub mod types;

// Arrow export (only available with arrow feature)
#[cfg(feature = "arrow")]
pub mod arrow_export;

// Test utilities (only available in test builds or with test-utils feature)
#[cfg(any(test, feature = "test-utils"))]
pub mod test_utils;

#[cfg(any(test, feature = "test-utils"))]
pub mod test_data_loader;

/// Feature manifest TOML, embedded at compile time.
/// SSoT for all microstructure feature metadata (Issue #95).
/// Exposed to Python via PyO3 `get_feature_manifest_raw()`.
pub const FEATURE_MANIFEST_TOML: &str = include_str!("../data/feature_manifest.toml");

// Re-export commonly used types
pub use checkpoint::{AnomalySummary, Checkpoint, CheckpointError, PositionVerification};
pub use entropy_cache_global::{
    GLOBAL_ENTROPY_CACHE_CAPACITY, create_local_entropy_cache, get_global_entropy_cache,
}; // Issue #145: Global entropy cache API
pub use fixed_point::FixedPoint;
pub use interbar::{InterBarConfig, InterBarFeatures, LookbackMode, TradeHistory, TradeSnapshot};
pub use interbar_cache::{INTERBAR_FEATURE_CACHE_CAPACITY, InterBarCacheKey, InterBarFeatureCache}; // Issue #96 Task #144 Phase 4: Inter-bar feature result cache API
pub use interbar_math::EntropyCache; // Issue #145 Phase 2: Export for external cache parameters
pub use intrabar::{IntraBarConfig, IntraBarFeatures, compute_intra_bar_features};
pub use processor::{ExportOpenDeviationBarProcessor, OpenDeviationBarProcessor, ProcessingError};
pub use timestamp::{
    TimestampUnit, create_aggtrade_with_normalized_timestamp, normalize_timestamp,
    validate_timestamp,
};
pub use trade::{BreachMode, Tick};
pub use types::{AggTrade, DataSource, OpenDeviationBar};

// Arrow export re-exports (only available with arrow feature)
#[cfg(feature = "arrow")]
pub use arrow_export::{
    ArrowImportError,
    opendeviationbar_schema,
    opendeviationbar_vec_to_record_batch,
    // Issue #300 (MEM-02): Zero-copy Arrow iterator adapter
    process_from_arrow_columns,
    // Issue #88: Arrow-native input path (renamed from record_batch_to_aggtrades)
    record_batch_to_ticks,
    tick_schema,
    ticks_to_record_batch,
};