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,
        spread: Option<f64>,
        timeframe_seconds: Option<u64>,
        tick_count: Option<u64>,
    },
}

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

spread: Option<f64>

Symmetric bid/ask spread in price units observed while the bar formed.

None means the spread is unknown, which keeps the historical zero-spread approximation for feeds that cannot supply it.

timeframe_seconds: Option<u64>

Length of the bar’s bucket in seconds when the source knows it; a strategy series accepts a stored bar only when this matches its timeframe.

tick_count: Option<u64>

Number of ticks the bar aggregated when the source recorded it, which a strategy series reports as the bar’s tick count.

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.

A tick carries its own two-sided quote. A bar yields its closing quote, with its recorded spread applied symmetrically around the close; FutureQuote replay executes a bar through MarketEvent::bar_execution_prices instead, over its open, range, and close. A bar without a recorded spread keeps the zero-spread approximation; use MarketEvent::to_quote_with_spread_fallback to supply one.

pub fn to_quote_with_spread_fallback(&self, fallback: Option<f64>) -> PriceQuote

Convert the event into a PriceQuote, applying fallback when a bar has no recorded spread.

fallback is expressed in price units and applied symmetrically around the bar close. It is ignored for ticks and for bars that already carry a spread.

pub fn bar_execution_prices( &self, fallback: Option<f64>, ) -> Option<BarExecutionPrices>

The execution view of a bar: its prices and half of the spread applied around each of them, using fallback when the bar records no spread. None for a tick.

pub fn is_zero_spread_bar(&self) -> bool

Whether this event is a bar that carries no usable spread.

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) -> Self

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_ordinal_and_availability( self, ) -> (MarketEvent, Option<u64>, Option<NaiveDateTime>)

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.