pub struct RangeBarProcessor { /* private fields */ }Expand description
Range bar processor with non-lookahead bias guarantee
Implementations§
Source§impl RangeBarProcessor
impl RangeBarProcessor
Sourcepub fn new(threshold_bps: u32) -> Result<Self, ProcessingError>
pub fn new(threshold_bps: u32) -> Result<Self, ProcessingError>
Create new processor with given threshold
§Arguments
threshold_bps- Threshold in tenths of basis points (0.1bps units)- Example:
250→ 25bps = 0.25% - Example:
10→ 1bps = 0.01% - Minimum:
1→ 0.1bps = 0.001%
- Example:
§Breaking Change (v3.0.0)
Prior to v3.0.0, threshold_bps was in 1bps units.
Migration: Multiply all threshold values by 10.
Sourcepub fn process_single_trade(
&mut self,
trade: AggTrade,
) -> Result<Option<RangeBar>, ProcessingError>
pub fn process_single_trade( &mut self, trade: AggTrade, ) -> Result<Option<RangeBar>, ProcessingError>
Process a single trade and return completed bar if any
Maintains internal state for streaming use case. State persists across calls until a bar completes (threshold breach), enabling get_incomplete_bar().
§Arguments
trade- Single aggregated trade to process
§Returns
Some(RangeBar) if a bar was completed, None otherwise
§State Management
- First trade: Initializes new bar state
- Subsequent trades: Updates existing bar or closes on breach
- Breach: Returns completed bar, starts new bar with breaching trade
Sourcepub fn get_incomplete_bar(&self) -> Option<RangeBar>
pub fn get_incomplete_bar(&self) -> Option<RangeBar>
Get any incomplete bar currently being processed
Returns clone of current bar state for inspection without consuming it. Useful for final bar at stream end or progress monitoring.
§Returns
Some(RangeBar) if bar is in progress, None if no active bar
Sourcepub fn process_agg_trade_records_with_incomplete(
&mut self,
agg_trade_records: &[AggTrade],
) -> Result<Vec<RangeBar>, ProcessingError>
pub fn process_agg_trade_records_with_incomplete( &mut self, agg_trade_records: &[AggTrade], ) -> Result<Vec<RangeBar>, ProcessingError>
Process AggTrade records into range bars including incomplete bars for analysis
§Arguments
agg_trade_records- Slice of AggTrade records sorted by (timestamp, agg_trade_id)
§Returns
Vector of range bars including incomplete bars at end of data
§Warning
This method is for analysis purposes only. Incomplete bars violate the fundamental range bar algorithm and should not be used for production trading.
Sourcepub fn process_agg_trade_records(
&mut self,
agg_trade_records: &[AggTrade],
) -> Result<Vec<RangeBar>, ProcessingError>
pub fn process_agg_trade_records( &mut self, agg_trade_records: &[AggTrade], ) -> Result<Vec<RangeBar>, ProcessingError>
Process Binance aggregated trade records into range bars
This is the primary method for converting AggTrade records (which aggregate multiple individual trades) into range bars based on price movement thresholds.
§Parameters
agg_trade_records- Slice of AggTrade records sorted by (timestamp, agg_trade_id) Each record represents multiple individual trades aggregated at same price
§Returns
Vector of completed range bars (ONLY bars that breached thresholds). Each bar tracks both individual trade count and AggTrade record count.
Sourcepub fn process_agg_trade_records_with_options(
&mut self,
agg_trade_records: &[AggTrade],
include_incomplete: bool,
) -> Result<Vec<RangeBar>, ProcessingError>
pub fn process_agg_trade_records_with_options( &mut self, agg_trade_records: &[AggTrade], include_incomplete: bool, ) -> Result<Vec<RangeBar>, ProcessingError>
Process AggTrade records with options for including incomplete bars
Batch processing mode: Clears any existing state before processing. Use process_single_trade() for stateful streaming instead.
§Parameters
agg_trade_records- Slice of AggTrade records sorted by (timestamp, agg_trade_id)include_incomplete- Whether to include incomplete bars at end of processing
§Returns
Vector of range bars (completed + incomplete if requested)