Module data_feed

Expand description

Data feed abstraction for backtesting.

A DataFeed produces a time-ordered sequence of MarketEvents that the backtest runner consumes. Two built-in implementations are provided:

VecFeed — wraps a pre-loaded Vec<MarketEvent> (useful for tests and any data source you can materialise up-front).
Conversion helpers from qs-data-preprocess types (Tick, Bar) so you can query DuckDB, convert the results, and feed them straight in.

Structs§

BarExecutionPrices: Prices a FutureQuote replay executes a bar against, read as midpoints with a symmetric half spread.
EventBatchFeed: Groups a fallible event cursor into complete timestamp batches.
EventMetadata: Deterministic identity and ordering metadata for one market event.
FeedEvent: A market event paired with non-persisted feed metadata.
KWayMergeFeed: Streaming deterministic merge over multiple fallible timestamp batch feeds.
SequencedMarketEvent: A streaming event paired with its physical source-row ordinal.
SeriesRoles: Roles a feed event serves in a multi-series backtest.
TimestampBatch: A contiguous batch of events with the same timestamp.
VecFeed: In-memory data feed backed by metadata-bearing market events.

EventBatchFeedError: Errors produced while grouping a fallible event source into timestamp batches.
KWayMergeError: Errors produced while deterministically merging timestamp batch feeds.
MarketEvent: A single market data event consumed by the backtest runner.

DataFeed: Sequential source of market events for backtesting.
EventSourceItem: Converts an event source item into an event and optional physical ordinal.
FallibleBatchFeed: Fallible source of complete timestamp batches.

bars_to_feed: Convert bars into a primary-series feed.
bars_to_feed_with_metadata: Convert bars into a deterministically ranked feed.
merge_feeds: Merge feeds using input position as series_rank.
ticks_to_feed: Convert ticks into a primary-series feed.
ticks_to_feed_with_metadata: Convert ticks into a deterministically ranked feed.