Enum MarketEvent 

pub enum MarketEvent {
    Tick {
        symbol: String,
        ts: NaiveDateTime,
        bid: f64,
        ask: f64,
    },
    Bar {
        symbol: String,
        ts: NaiveDateTime,
        open: f64,
        high: f64,
        low: f64,
        close: f64,
        volume: i64,
    },
}

A single market data event consumed by the backtest runner.

Variants

Tick

A bid/ask tick.

Fields

symbol: String

ts: NaiveDateTime

bid: f64

ask: f64

Bar

An OHLCV bar.

Fields

symbol: String

ts: NaiveDateTime

open: f64

high: f64

low: f64

close: f64

volume: i64

Implementations

impl MarketEvent

pub fn ts(&self) -> NaiveDateTime

Timestamp of the event.

pub fn symbol(&self) -> &str

Symbol of the event.

pub fn to_quote(&self) -> PriceQuote

Convert the event into a PriceQuote suitable for the trade engine.

• For ticks this is straightforward (bid/ask).
• For bars the close price is used for both bid and ask (zero spread approximation). A more sophisticated feed could model the spread separately.

pub fn to_valid_quote(&self) -> Option<PriceQuote>

Convert this event into a quote only when its executable bid/ask view is finite, positive, and not crossed.

Trait Implementations

impl Clone for MarketEvent

fn clone(&self) -> MarketEvent

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for MarketEvent

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for MarketEvent

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl EventSourceItem for MarketEvent

fn into_event_and_ordinal(self) -> (MarketEvent, Option<u64>)

impl Serialize for MarketEvent

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.