Struct TickReplayer 

pub struct TickReplayer { /* private fields */ }

Replays a collection of ticks in ascending timestamp order.

Implementations

impl TickReplayer

pub fn new(ticks: Vec<Tick>) -> Self

Constructs a TickReplayer, sorting ticks by timestamp ascending.

pub fn next_tick(&mut self) -> Option<&Tick>

Returns the next tick in timestamp order, or None if exhausted.

pub fn remaining(&self) -> usize

Returns the number of ticks not yet yielded.

pub fn peek(&self) -> Option<&Tick>

Returns a reference to the next tick without advancing the position.

pub fn ticks(&self) -> &[Tick]

Returns a shared reference to all ticks in sorted order.

pub fn reset(&mut self)

Resets the replayer to the beginning of the tick sequence.

pub fn count(&self) -> usize

Returns the total number of ticks (including already-yielded ones).

pub fn vwap(&self) -> Option<Decimal>

Returns the volume-weighted average price (VWAP) across all ticks.

VWAP = Σ(price × quantity) / Σ(quantity).

Returns None if no ticks are loaded or total volume is zero.

pub fn filter_ticks(&self, filter: &TickFilter) -> Vec<Tick>

Returns all ticks (from the full sorted slice) that match filter.

pub fn between(&self, from: NanoTimestamp, to: NanoTimestamp) -> Vec<Tick>

Returns all ticks whose timestamp falls within [from, to] (inclusive).

pub fn delta(&self) -> Decimal

Returns the net delta: buy_volume - sell_volume.

Positive = net buying pressure, negative = net selling pressure.

pub fn time_span_nanos(&self) -> Option<i64>

Returns the nanosecond time span from the first to the last tick.

Returns None if there are fewer than 2 ticks.

pub fn total_notional(&self) -> Decimal

Returns the sum of notional values (price × quantity) across all ticks.

pub fn buy_volume(&self) -> Decimal

Returns the total volume of all bid-side (buy) ticks.

pub fn sell_volume(&self) -> Decimal

Returns the total volume of all ask-side (sell) ticks.

pub fn first(&self) -> Option<&Tick>

Returns a reference to the first tick in the replay sequence, or None if empty.

pub fn last(&self) -> Option<&Tick>

Returns a reference to the last tick in the replay sequence, or None if empty.

pub fn vwap_by_side(&self) -> (Option<Decimal>, Option<Decimal>)

Returns the VWAP for bid-side and ask-side ticks separately.

The tuple is (bid_vwap, ask_vwap). Either element is None if there are no ticks on that side or total volume for that side is zero.

pub fn collect_by_symbol(&self) -> HashMap<Symbol, Vec<Tick>>

Groups all ticks in this replayer by symbol.

Returns a HashMap mapping each symbol to a Vec<Tick> in timestamp order. Ticks are cloned.

pub fn price_range(&self) -> Option<Decimal>

Returns the price range across all ticks: max_price - min_price.

Returns None if there are no ticks.

pub fn tick_count_by_side(&self) -> (usize, usize)

Returns a (bid_count, ask_count) tuple for the number of ticks on each side.

pub fn median_trade_size(&self) -> Option<Decimal>

Returns the median trade size (quantity) across all ticks.

Uses the lower median for even-length sets. Returns None if empty.

pub fn avg_trade_size(&self) -> Option<Decimal>

Returns the arithmetic mean tick quantity across all ticks.

Returns None if there are no ticks.

pub fn tick_interval_mean_nanos(&self) -> Option<i64>

Returns the mean nanosecond interval between consecutive ticks.

Returns None if there are fewer than 2 ticks.

pub fn price_std(&self) -> Option<Decimal>

Returns the standard deviation of trade prices in the batch.

Uses the sample standard deviation (n - 1 denominator). Returns None when fewer than 2 ticks are present.

pub fn bid_ask_imbalance(&self) -> Option<Decimal>

Returns the bid-ask imbalance: (bid_volume - ask_volume) / total_volume.

Values near +1 indicate heavy buying pressure; near -1 indicate heavy selling pressure. Returns None if total volume is zero or there are no ticks.

pub fn tick_velocity_per_second(&self) -> Option<f64>

Returns tick count per second over the time span of the batch.

Returns None if fewer than 2 ticks are present or the time span is zero.

Trait Implementations

impl Iterator for TickReplayer

type Item = Tick

The type of the elements being iterated over.

fn next(&mut self) -> Option<Self::Item>

Advances the iterator and returns the next value.

fn next_chunk<const N: usize>( &mut self, ) -> Result<[Self::Item; N], IntoIter<Self::Item, N>>

where Self: Sized,

🔬This is a nightly-only experimental API. (iter_next_chunk)

Advances the iterator and returns an array containing the next N values.

fn size_hint(&self) -> (usize, Option<usize>)

Returns the bounds on the remaining length of the iterator.

fn count(self) -> usize

where Self: Sized,

Consumes the iterator, counting the number of iterations and returning it.

fn last(self) -> Option<Self::Item>

where Self: Sized,

Consumes the iterator, returning the last element.

fn advance_by(&mut self, n: usize) -> Result<(), NonZero<usize>>

🔬This is a nightly-only experimental API. (iter_advance_by)

Advances the iterator by n elements.

fn nth(&mut self, n: usize) -> Option<Self::Item>

Returns the nth element of the iterator.

fn step_by(self, step: usize) -> StepBy<Self>

where Self: Sized,

Creates an iterator starting at the same point, but stepping by the given amount at each iteration.

fn chain<U>(self, other: U) -> Chain<Self, <U as IntoIterator>::IntoIter>

where Self: Sized, U: IntoIterator<Item = Self::Item>,

Takes two iterators and creates a new iterator over both in sequence.

fn zip<U>(self, other: U) -> Zip<Self, <U as IntoIterator>::IntoIter>

where Self: Sized, U: IntoIterator,

‘Zips up’ two iterators into a single iterator of pairs.

fn intersperse(self, separator: Self::Item) -> Intersperse<Self>

where Self: Sized, Self::Item: Clone,

🔬This is a nightly-only experimental API. (iter_intersperse)

Creates a new iterator which places a copy of separator between items of the original iterator.

fn intersperse_with<G>(self, separator: G) -> IntersperseWith<Self, G>

where Self: Sized, G: FnMut() -> Self::Item,

🔬This is a nightly-only experimental API. (iter_intersperse)

Creates a new iterator which places an item generated by separator between items of the original iterator.

fn map<B, F>(self, f: F) -> Map<Self, F>

where Self: Sized, F: FnMut(Self::Item) -> B,

Takes a closure and creates an iterator which calls that closure on each element.

fn for_each<F>(self, f: F)

where Self: Sized, F: FnMut(Self::Item),

Calls a closure on each element of an iterator.

fn filter<P>(self, predicate: P) -> Filter<Self, P>

where Self: Sized, P: FnMut(&Self::Item) -> bool,

Creates an iterator which uses a closure to determine if an element should be yielded.

fn filter_map<B, F>(self, f: F) -> FilterMap<Self, F>

where Self: Sized, F: FnMut(Self::Item) -> Option<B>,

Creates an iterator that both filters and maps.

fn enumerate(self) -> Enumerate<Self>

where Self: Sized,

Creates an iterator which gives the current iteration count as well as the next value.

fn peekable(self) -> Peekable<Self>

where Self: Sized,

Creates an iterator which can use the peek and peek_mut methods to look at the next element of the iterator without consuming it. See their documentation for more information.

fn skip_while<P>(self, predicate: P) -> SkipWhile<Self, P>

where Self: Sized, P: FnMut(&Self::Item) -> bool,

Creates an iterator that skips elements based on a predicate.

fn take_while<P>(self, predicate: P) -> TakeWhile<Self, P>

where Self: Sized, P: FnMut(&Self::Item) -> bool,

Creates an iterator that yields elements based on a predicate.

fn map_while<B, P>(self, predicate: P) -> MapWhile<Self, P>

where Self: Sized, P: FnMut(Self::Item) -> Option<B>,

Creates an iterator that both yields elements based on a predicate and maps.

fn skip(self, n: usize) -> Skip<Self>

where Self: Sized,

Creates an iterator that skips the first n elements.

fn take(self, n: usize) -> Take<Self>

where Self: Sized,

Creates an iterator that yields the first n elements, or fewer if the underlying iterator ends sooner.

fn scan<St, B, F>(self, initial_state: St, f: F) -> Scan<Self, St, F>

where Self: Sized, F: FnMut(&mut St, Self::Item) -> Option<B>,

An iterator adapter which, like fold, holds internal state, but unlike fold, produces a new iterator.

fn flat_map<U, F>(self, f: F) -> FlatMap<Self, U, F>

where Self: Sized, U: IntoIterator, F: FnMut(Self::Item) -> U,

Creates an iterator that works like map, but flattens nested structure.

fn map_windows<F, R, const N: usize>(self, f: F) -> MapWindows<Self, F, N>

where Self: Sized, F: FnMut(&[Self::Item; N]) -> R,

🔬This is a nightly-only experimental API. (iter_map_windows)

Calls the given function f for each contiguous window of size N over self and returns an iterator over the outputs of f. Like slice::windows(), the windows during mapping overlap as well.

fn fuse(self) -> Fuse<Self>

where Self: Sized,

Creates an iterator which ends after the first None.

fn inspect<F>(self, f: F) -> Inspect<Self, F>

where Self: Sized, F: FnMut(&Self::Item),

Does something with each element of an iterator, passing the value on.

fn by_ref(&mut self) -> &mut Self

where Self: Sized,

Creates a “by reference” adapter for this instance of Iterator.

fn collect<B>(self) -> B

where B: FromIterator<Self::Item>, Self: Sized,

Transforms an iterator into a collection.

fn collect_into<E>(self, collection: &mut E) -> &mut E

where E: Extend<Self::Item>, Self: Sized,

🔬This is a nightly-only experimental API. (iter_collect_into)

Collects all the items from an iterator into a collection.

fn partition<B, F>(self, f: F) -> (B, B)

where Self: Sized, B: Default + Extend<Self::Item>, F: FnMut(&Self::Item) -> bool,

Consumes an iterator, creating two collections from it.

fn is_partitioned<P>(self, predicate: P) -> bool

where Self: Sized, P: FnMut(Self::Item) -> bool,

🔬This is a nightly-only experimental API. (iter_is_partitioned)

Checks if the elements of this iterator are partitioned according to the given predicate, such that all those that return true precede all those that return false.

fn try_fold<B, F, R>(&mut self, init: B, f: F) -> R

where Self: Sized, F: FnMut(B, Self::Item) -> R, R: Try<Output = B>,

An iterator method that applies a function as long as it returns successfully, producing a single, final value.

fn try_for_each<F, R>(&mut self, f: F) -> R

where Self: Sized, F: FnMut(Self::Item) -> R, R: Try<Output = ()>,

An iterator method that applies a fallible function to each item in the iterator, stopping at the first error and returning that error.

fn fold<B, F>(self, init: B, f: F) -> B

where Self: Sized, F: FnMut(B, Self::Item) -> B,

Folds every element into an accumulator by applying an operation, returning the final result.

fn reduce<F>(self, f: F) -> Option<Self::Item>

where Self: Sized, F: FnMut(Self::Item, Self::Item) -> Self::Item,

Reduces the elements to a single one, by repeatedly applying a reducing operation.

fn try_reduce<R>( &mut self, f: impl FnMut(Self::Item, Self::Item) -> R, ) -> <<R as Try>::Residual as Residual<Option<<R as Try>::Output>>>::TryType

where Self: Sized, R: Try<Output = Self::Item>, <R as Try>::Residual: Residual<Option<Self::Item>>,

🔬This is a nightly-only experimental API. (iterator_try_reduce)

Reduces the elements to a single one by repeatedly applying a reducing operation. If the closure returns a failure, the failure is propagated back to the caller immediately.

fn all<F>(&mut self, f: F) -> bool

where Self: Sized, F: FnMut(Self::Item) -> bool,

Tests if every element of the iterator matches a predicate.

fn any<F>(&mut self, f: F) -> bool

where Self: Sized, F: FnMut(Self::Item) -> bool,

Tests if any element of the iterator matches a predicate.

fn find<P>(&mut self, predicate: P) -> Option<Self::Item>

where Self: Sized, P: FnMut(&Self::Item) -> bool,

Searches for an element of an iterator that satisfies a predicate.

fn find_map<B, F>(&mut self, f: F) -> Option<B>

where Self: Sized, F: FnMut(Self::Item) -> Option<B>,

Applies function to the elements of iterator and returns the first non-none result.

fn try_find<R>( &mut self, f: impl FnMut(&Self::Item) -> R, ) -> <<R as Try>::Residual as Residual<Option<Self::Item>>>::TryType

where Self: Sized, R: Try<Output = bool>, <R as Try>::Residual: Residual<Option<Self::Item>>,

🔬This is a nightly-only experimental API. (try_find)

Applies function to the elements of iterator and returns the first true result or the first error.

fn position<P>(&mut self, predicate: P) -> Option<usize>

where Self: Sized, P: FnMut(Self::Item) -> bool,

Searches for an element in an iterator, returning its index.

fn max_by_key<B, F>(self, f: F) -> Option<Self::Item>

where B: Ord, Self: Sized, F: FnMut(&Self::Item) -> B,

Returns the element that gives the maximum value from the specified function.

fn max_by<F>(self, compare: F) -> Option<Self::Item>

where Self: Sized, F: FnMut(&Self::Item, &Self::Item) -> Ordering,

Returns the element that gives the maximum value with respect to the specified comparison function.

fn min_by_key<B, F>(self, f: F) -> Option<Self::Item>

where B: Ord, Self: Sized, F: FnMut(&Self::Item) -> B,

Returns the element that gives the minimum value from the specified function.

fn min_by<F>(self, compare: F) -> Option<Self::Item>

where Self: Sized, F: FnMut(&Self::Item, &Self::Item) -> Ordering,

Returns the element that gives the minimum value with respect to the specified comparison function.

fn unzip<A, B, FromA, FromB>(self) -> (FromA, FromB)

where FromA: Default + Extend<A>, FromB: Default + Extend<B>, Self: Sized + Iterator<Item = (A, B)>,

Converts an iterator of pairs into a pair of containers.

fn copied<'a, T>(self) -> Copied<Self>

where T: Copy + 'a, Self: Sized + Iterator<Item = &'a T>,

Creates an iterator which copies all of its elements.

fn cloned<'a, T>(self) -> Cloned<Self>

where T: Clone + 'a, Self: Sized + Iterator<Item = &'a T>,

Creates an iterator which clones all of its elements.

fn array_chunks<const N: usize>(self) -> ArrayChunks<Self, N>

where Self: Sized,

🔬This is a nightly-only experimental API. (iter_array_chunks)

Returns an iterator over N elements of the iterator at a time.

fn sum<S>(self) -> S

where Self: Sized, S: Sum<Self::Item>,

Sums the elements of an iterator.

fn product<P>(self) -> P

where Self: Sized, P: Product<Self::Item>,

Iterates over the entire iterator, multiplying all the elements

fn cmp_by<I, F>(self, other: I, cmp: F) -> Ordering

where Self: Sized, I: IntoIterator, F: FnMut(Self::Item, <I as IntoIterator>::Item) -> Ordering,

🔬This is a nightly-only experimental API. (iter_order_by)

Lexicographically compares the elements of this Iterator with those of another with respect to the specified comparison function.

fn partial_cmp<I>(self, other: I) -> Option<Ordering>

where I: IntoIterator, Self::Item: PartialOrd<<I as IntoIterator>::Item>, Self: Sized,

Lexicographically compares the PartialOrd elements of this Iterator with those of another. The comparison works like short-circuit evaluation, returning a result without comparing the remaining elements. As soon as an order can be determined, the evaluation stops and a result is returned.

fn partial_cmp_by<I, F>(self, other: I, partial_cmp: F) -> Option<Ordering>

where Self: Sized, I: IntoIterator, F: FnMut(Self::Item, <I as IntoIterator>::Item) -> Option<Ordering>,

🔬This is a nightly-only experimental API. (iter_order_by)

Lexicographically compares the elements of this Iterator with those of another with respect to the specified comparison function.

fn eq<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialEq<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are equal to those of another.

fn eq_by<I, F>(self, other: I, eq: F) -> bool

where Self: Sized, I: IntoIterator, F: FnMut(Self::Item, <I as IntoIterator>::Item) -> bool,

🔬This is a nightly-only experimental API. (iter_order_by)

Determines if the elements of this Iterator are equal to those of another with respect to the specified equality function.

fn ne<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialEq<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are not equal to those of another.

fn lt<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialOrd<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are lexicographically less than those of another.

fn le<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialOrd<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are lexicographically less or equal to those of another.

fn gt<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialOrd<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are lexicographically greater than those of another.

fn ge<I>(self, other: I) -> bool

where I: IntoIterator, Self::Item: PartialOrd<<I as IntoIterator>::Item>, Self: Sized,

Determines if the elements of this Iterator are lexicographically greater than or equal to those of another.

fn is_sorted_by<F>(self, compare: F) -> bool

where Self: Sized, F: FnMut(&Self::Item, &Self::Item) -> bool,

Checks if the elements of this iterator are sorted using the given comparator function.

fn is_sorted_by_key<F, K>(self, f: F) -> bool

where Self: Sized, F: FnMut(Self::Item) -> K, K: PartialOrd,

Checks if the elements of this iterator are sorted using the given key extraction function.