Struct RangeBar 

pub struct RangeBar {

    pub open_time: i64,
    pub close_time: i64,
    pub open: FixedPoint,
    pub high: FixedPoint,
    pub low: FixedPoint,
    pub close: FixedPoint,
    pub volume: FixedPoint,
    pub turnover: i128,
    pub individual_trade_count: u32,
    pub agg_record_count: u32,
    pub first_trade_id: i64,
    pub last_trade_id: i64,
    pub data_source: DataSource,
    pub buy_volume: FixedPoint,
    pub sell_volume: FixedPoint,
    pub buy_trade_count: u32,
    pub sell_trade_count: u32,
    pub vwap: FixedPoint,
    pub buy_turnover: i128,
    pub sell_turnover: i128,
}

Range bar with OHLCV data and market microstructure enhancements

Fields

open_time: i64

Opening timestamp in microseconds (first trade)

close_time: i64

Closing timestamp in microseconds (last trade)

open: FixedPoint

Opening price (first trade price)

high: FixedPoint

Highest price in bar

low: FixedPoint

Lowest price in bar

close: FixedPoint

Closing price (breach trade price)

volume: FixedPoint

Total volume

turnover: i128

Total turnover (sum of price * volume)

individual_trade_count: u32

Total number of individual exchange trades in this range bar Sum of individual_trade_count() from all processed AggTrade records

agg_record_count: u32

Number of AggTrade records processed to create this range bar NEW: Enables tracking of aggregation efficiency

first_trade_id: i64

First individual trade ID in this range bar

last_trade_id: i64

Last individual trade ID in this range bar

data_source: DataSource

Data source this range bar was created from

buy_volume: FixedPoint

Volume from buy-side trades (is_buyer_maker = false) Represents aggressive buying pressure

sell_volume: FixedPoint

Volume from sell-side trades (is_buyer_maker = true) Represents aggressive selling pressure

buy_trade_count: u32

Number of individual buy-side trades (aggressive buying)

sell_trade_count: u32

Number of individual sell-side trades (aggressive selling)

vwap: FixedPoint

Volume Weighted Average Price for the bar Calculated incrementally as: sum(price * volume) / sum(volume)

buy_turnover: i128

Turnover from buy-side trades (buy pressure)

sell_turnover: i128

Turnover from sell-side trades (sell pressure)

Implementations

impl RangeBar

pub fn new(trade: &AggTrade) -> RangeBar

Create new range bar from opening AggTrade record

pub fn aggregation_efficiency(&self) -> f64

Average number of individual trades per AggTrade record (aggregation efficiency)

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

Update bar with new AggTrade record (always call before checking breach) Maintains market microstructure metrics incrementally

pub fn is_breach( &self, price: FixedPoint, upper_threshold: FixedPoint, lower_threshold: FixedPoint, ) -> bool

Check if price breaches the range thresholds

Arguments

• price - Current price to check
• upper_threshold - Upper breach threshold (from bar open)
• lower_threshold - Lower breach threshold (from bar open)

Returns

true if price breaches either threshold

Trait Implementations

impl Clone for RangeBar

fn clone(&self) -> RangeBar

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RangeBar

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RangeBar

fn deserialize<__D>( __deserializer: __D, ) -> Result<RangeBar, <__D as Deserializer<'de>>::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RangeBar

fn serialize<__S>( &self, __serializer: __S, ) -> Result<<__S as Serializer>::Ok, <__S as Serializer>::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.