Crate fin_stream 

fin-stream

Lock-free streaming primitives for real-time financial market data.

Architecture

Tick Source
    |
    v
SPSC Ring Buffer  (lock-free, zero-allocation hot path)
    |
    v
OHLCV Aggregator  (streaming bar construction at any timeframe)
    |
    v
MinMax Normalizer (rolling-window coordinate normalization)
    |
    +---> Lorentz Transform  (spacetime boost for feature engineering)
    |
    v
Downstream (ML model, trade signal engine, order management)

Performance

The SPSC ring buffer sustains 100 K+ ticks/second with no heap allocation on the fast path. All error paths return Result<_, StreamError> — the library never panics on the hot path. Construction functions validate their arguments and panic on misuse with a clear message (e.g. ring capacity of 0, normalizer window size of 0).

Modules

Module	Responsibility
book	Order book delta streaming and crossed-book detection
error	Typed error hierarchy (StreamError)
health	Feed staleness detection and circuit-breaker
lorentz	Lorentz spacetime transforms for time-series features
norm	Rolling min-max coordinate normalization
ohlcv	OHLCV bar aggregation at arbitrary timeframes
ring	SPSC lock-free ring buffer
session	Market session and trading-hours classification
tick	Raw-to-normalized tick conversion for all exchanges
ws	WebSocket connection management and reconnect policy

Re-exports

pub use book::BookDelta;

pub use book::BookSide;

pub use book::OrderBook;

pub use book::PriceLevel;

pub use error::StreamError;

pub use health::FeedHealth;

pub use health::HealthMonitor;

pub use health::HealthStatus;

pub use lorentz::LorentzTransform;

pub use lorentz::SpacetimePoint;

pub use norm::MinMaxNormalizer;

pub use norm::ZScoreNormalizer;

pub use ohlcv::OhlcvAggregator;

pub use ohlcv::OhlcvBar;

pub use ohlcv::Timeframe;

pub use ring::SpscConsumer;

pub use ring::SpscProducer;

pub use ring::SpscRing;

pub use session::MarketSession;

pub use session::SessionAwareness;

pub use session::TradingStatus;

pub use tick::Exchange;

pub use tick::NormalizedTick;

pub use tick::RawTick;

pub use tick::TickNormalizer;

pub use ws::ConnectionConfig;

pub use ws::ReconnectPolicy;

pub use ws::WsManager;

Modules

book

Order book — delta streaming with full reconstruction.

error

Typed error hierarchy for fin-stream.

health

Feed health monitoring — staleness detection and status tracking.

lorentz

Lorentz (special-relativistic) transforms applied to financial time series.

norm

Rolling-window coordinate normalization for financial time series.

ohlcv

Real-time tick-to-OHLCV aggregation at arbitrary timeframes.

ring

Lock-free single-producer / single-consumer (SPSC) ring buffer.

session

Market session awareness — trading hours, holidays, status transitions.

tick

Tick normalization — raw exchange messages → canonical NormalizedTick.

ws

WebSocket connection management — auto-reconnect and backpressure.