quantedge-ta

A streaming technical analysis library for Rust. Correct, tested, documented.

Features

Type-safe convergence

Indicators return Option<Self::Output>. No value until there's enough data. No silent NaN, no garbage early values. The type system enforces correctness. For indicators with infinite memory (EMA), convergence enforcement is configurable: opt in to suppress values until the seed's influence has decayed below 1%.

Bring your own data

Indicators accept any type implementing the Ohlcv trait. No forced conversion to a library-specific struct. Implement five required methods on your existing type and you're done. Volume has a default implementation for data sources that don't provide it.

O(1) incremental updates

Indicators maintain running state and update in constant time per tick. No re-scanning the window.

Live repainting

Indicators track bar boundaries using open_time. A kline with a new open_time advances the window; same open_time replaces the current value. Useful for trading terminals and real-time systems that need indicator values on forming bars.

Typed outputs

Each indicator defines its own output type via an associated type on the Indicator trait. SMA and EMA return f64. Bollinger Bands returns BbValue { upper, middle, lower }. No downcasting, no enums, full type safety.

Usage

use quantedge_ta::{Sma, SmaConfig, Indicator};
use std::num::NonZero;

let mut sma = Sma::new(SmaConfig::close(NonZero::new(20).unwrap()));

for kline in stream {
    if let Some(value) = sma.compute(&kline) {
        println!("SMA(20): {value}");
    }
    // None = not enough data yet
}

Bollinger Bands returns a struct:

use quantedge_ta::{
    Bb, BbConfig, Indicator, IndicatorConfig, IndicatorConfigBuilder,
};
use std::num::NonZero;

let config = BbConfig::builder()
    .length(NonZero::new(20).unwrap())
    .build();
let mut bb = Bb::new(config);

for kline in stream {
    if let Some(value) = bb.compute(&kline) {
        println!("BB upper: {}, middle: {}, lower: {}",
            value.upper(), value.middle(), value.lower());
    }
}

Custom standard deviation multiplier:

use quantedge_ta::{BbConfig, StdDev, IndicatorConfig, IndicatorConfigBuilder};
use std::num::NonZero;

let config = BbConfig::builder()
    .length(NonZero::new(20).unwrap())
    .std_dev(StdDev::new(1.5))
    .build();

Live data with repainting:

// Open kline arrives (open_time = 1000)
sma.compute(&open_kline);    // computes with current bar

// Same bar, new trade (open_time = 1000, updated close)
sma.compute(&updated_kline); // replaces current bar value

// Next bar (open_time = 2000)
sma.compute(&next_kline);    // advances the window

The caller controls bar boundaries. The library handles the rest.

Indicator Trait

Each indicator defines its output type. No downcasting needed:

trait Indicator: Sized + Clone + Display + Debug {
    type Config: IndicatorConfig;
    type Output: Send + Sync + Display + Debug;

    fn new(config: Self::Config) -> Self;
    fn compute(&mut self, kline: &impl Ohlcv) -> Option<Self::Output>;
    fn value(&self) -> Option<Self::Output>;
}

// Sma: Output = f64
// Ema: Output = f64
// Bb:  Output = BbValue { upper: f64, middle: f64, lower: f64 }

Ohlcv Trait

Implement the Ohlcv trait on your own data type:

use quantedge_ta::{Ohlcv, Price, Timestamp};

struct MyKline {
    open: f64,
    high: f64,
    low: f64,
    close: f64,
    open_time: u64,
}

impl Ohlcv for MyKline {
    fn open(&self) -> Price { self.open }
    fn high(&self) -> Price { self.high }
    fn low(&self) -> Price { self.low }
    fn close(&self) -> Price { self.close }
    fn open_time(&self) -> Timestamp { self.open_time }
    // fn volume(&self) -> f64 { 0.0 }  -- default, override if needed
}

Convergence

SMA and BB converge as soon as the window fills (length bars). EMA has infinite memory; the SMA seed influences all subsequent values. EmaConfig provides methods to control this:

• enforce_convergence() -- when true, compute() returns None until the seed's contribution decays below 1%.
• required_bars_to_converge() -- returns the number of bars needed.

use quantedge_ta::{EmaConfig, IndicatorConfig, IndicatorConfigBuilder};
use std::num::NonZero;

let config = EmaConfig::builder()
    .length(NonZero::new(20).unwrap())
    .enforce_convergence(true) // None until ~63 bars
    .build();
config.required_bars_to_converge(); // 63 = 3 * (20 + 1)

Use required_bars_to_converge() to determine how much history to fetch before going live.

Price Sources

Each indicator is configured with a PriceSource that determines which value to extract from the Ohlcv input:

Indicators

v0.1

Planned

RSI, MACD, ATR, CHOP, and more.

Benchmarks

Measured with Criterion.rs on 744 BTC/USDT 1-hour bars from Binance.

Stream measures end-to-end throughput including window fill. Tick isolates steady-state per-bar cost on a fully converged indicator.

Hardware: Apple M3 Max (16 cores), 48 GB RAM, macOS 26.3, rustc 1.93.1, --release profile.

Stream — process 744 bars from cold start

Tick — single compute() on a converged indicator

Run locally:

cargo bench              # all benchmarks
cargo bench -- stream    # stream only
cargo bench -- tick      # single-tick only

Minimum Supported Rust Version

1.93

Licence

Licensed under either of:

• Apache License, Version 2.0 (LICENSE-APACHE or http://www.apache.org/licenses/LICENSE-2.0)
• MIT License (LICENSE-MIT or http://opensource.org/licenses/MIT)

at your option.

Contributing

Contributions welcome. Please open an issue before submitting large changes.

Unless you explicitly state otherwise, any contribution intentionally submitted for inclusion in this crate by you, as defined in the Apache-2.0 licence, shall be dual-licensed as above, without any additional terms or conditions.