Struct TradeHistory 

pub struct TradeHistory { /* private fields */ }

Trade history ring buffer for inter-bar feature computation

Implementations

impl TradeHistory

pub fn new(config: InterBarConfig) -> Self

Create new trade history with given configuration

pub fn push(&mut self, trade: &AggTrade)

Push a new trade to the history buffer

Automatically prunes old entries based on lookback mode, but preserves trades needed for lookback computation (timestamp < protected_until).

pub fn on_bar_open(&mut self, bar_open_time: i64)

Notify that a new bar has opened at the given timestamp

This sets the protection threshold to ensure trades from before the bar opened are preserved for lookback computation. The protection extends until the next bar opens and calls this method again.

pub fn on_bar_close(&mut self)

Notify that the current bar has closed

For BarRelative mode, records the current trade count as a bar boundary. For other modes, this is a no-op. Protection is always kept until the next bar opens.

pub fn get_lookback_trades(&self, bar_open_time: i64) -> Vec<&TradeSnapshot>

Get trades for lookback computation (excludes trades at or after bar_open_time)

This is CRITICAL for temporal integrity - we only use trades that occurred BEFORE the current bar opened.

pub fn compute_features(&self, bar_open_time: i64) -> InterBarFeatures

Compute inter-bar features from lookback window

Arguments

• bar_open_time - The open timestamp of the current bar (microseconds)

Returns

InterBarFeatures with computed values, or None for features that cannot be computed due to insufficient data.

pub fn reset_bar_boundaries(&mut self)

Reset bar boundary tracking (Issue #81)

Called at ouroboros boundaries. Clears bar close indices but preserves trade history — trades are still valid lookback data for the first bar of the new segment.

pub fn clear(&mut self)

Clear the trade history (e.g., at ouroboros boundary)

pub fn len(&self) -> usize

Get current number of trades in buffer

pub fn is_empty(&self) -> bool

Check if buffer is empty

Trait Implementations

impl Clone for TradeHistory

fn clone(&self) -> TradeHistory

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TradeHistory

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

Formats the value using the given formatter.