Crate rangebar 

Rangebar

High-performance non-lookahead bias range bar construction for Binance UM Futures data.

Quick Start

use rangebar::{RangeBarProcessor, AggTrade, FixedPoint};

// Create processor with 0.8% threshold (8000 basis points)
let mut processor = RangeBarProcessor::new(8000);

// Create sample trade data
let trade = AggTrade {
    agg_trade_id: 123456789,
    price: FixedPoint::from_str("50000.12345").unwrap(),
    volume: FixedPoint::from_str("1.50000000").unwrap(),
    first_trade_id: 100,
    last_trade_id: 105,
    timestamp: 1609459200000,
    is_buyer_maker: false,
};

// Process trades into range bars
let trades = vec![trade];
let bars = processor.process_trades(&trades).unwrap();

for bar in bars {
    println!("Bar: O={} H={} L={} C={} V={}",
             bar.open, bar.high, bar.low, bar.close, bar.volume);
}

Algorithm

Range bars close when price moves ±threshold% from the bar’s opening price:

1. Non-lookahead bias: Thresholds computed only from bar open price
2. Breach inclusion: Breaching trade included in closing bar
3. Fixed thresholds: Never recalculated during bar lifetime

Features

• 137M+ trades/second processing (2025 benchmarks)
• Fixed-point arithmetic (no floating-point errors)
• Memory efficient streaming processing
• Comprehensive statistics via Polars (when statistics feature enabled)
• Data integrity validation and checksums (when data-integrity feature enabled)

Re-exports

pub use fixed_point::FixedPoint;

pub use range_bars::ProcessingError;

pub use range_bars::RangeBarProcessor;

pub use types::AggTrade;

pub use types::RangeBar;

pub use statistics::AlgorithmConfig;

pub use statistics::DatasetInfo;

pub use statistics::FormatMetadata;

pub use statistics::PerformanceMetrics;

pub use statistics::QualityMetrics;

pub use statistics::RangeBarMetadata;

pub use statistics::StatisticalConfig;

pub use statistics::StatisticalEngine;

pub use statistics::Statistics;

Modules

fixed_point

Fixed-point arithmetic for precise decimal calculations without floating point errors

range_bars

Core range bar processing algorithm

statistics

Comprehensive financial statistics and market microstructure analysis

types

Type definitions for range bar processing

Constants

DESCRIPTION

NAME

VERSION

Version information

Functions

init

Library initialization and configuration