Struct BarExecutionPrices 

pub struct BarExecutionPrices {
    pub symbol: String,
    pub ts: NaiveDateTime,
    pub open: f64,
    pub high: f64,
    pub low: f64,
    pub close: f64,
    pub half_spread: f64,
    pub timeframe_seconds: Option<u64>,
}

Prices a FutureQuote replay executes a bar against, read as midpoints with a symmetric half spread.

A bar is replayed in three steps stamped at its bucket open: a quote at open, a walk through the bar’s range, and a quote at close used only for marking. The walk visits the adverse extreme first for each side, so long exposure sees low before high and short exposure sees high before low, which is the pessimistic order when the bar alone cannot say which came first.

Fields

symbol: String

ts: NaiveDateTime

open: f64

high: f64

low: f64

close: f64

half_spread: f64

timeframe_seconds: Option<u64>

Implementations

impl BarExecutionPrices

pub fn executable(self) -> Option<Self>

The bar ready for execution, or None when a price is not finite or a quote at its lowest price would not be positive.

A range that does not contain the open and close is widened to contain them, because the bar did trade at both.

pub fn quote_at_mid(&self, mid: f64) -> PriceQuote

Quote whose midpoint is mid, with the bar’s spread.

pub fn open_quote(&self) -> PriceQuote

Quote at the bar’s open, where fills waiting for the bar execute.

pub fn close_quote(&self) -> PriceQuote

Quote at the bar’s close, which marks positions after the bar settled.

Trait Implementations

impl Clone for BarExecutionPrices

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BarExecutionPrices

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

Formats the value using the given formatter.

impl PartialEq for BarExecutionPrices

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for BarExecutionPrices