Expand description
Runtime execution engine for sigc
Executes IR and manages data ingestion.
Re-exports§
pub use attribution::AttributionAnalyzer;pub use attribution::AttributionResult;pub use attribution::SectorMapping;pub use attribution::BrinsonResult;pub use backtest::Backtester;pub use connectors::Connector;pub use connectors::SqlConnector;pub use connectors::CloudConnector;pub use connectors::ConnectorRegistry;pub use connectors::ConnectorEnv;pub use constraints::ConstraintSet;pub use constraints::ConstraintEnforcer;pub use constraints::PositionConstraint;pub use constraints::PortfolioConstraint;pub use constraints::SectorConstraint;pub use constraints::TurnoverConstraint;pub use costs::CostModel;pub use costs::ImpactModel;pub use costs::TradeCost;pub use costs::PortfolioCostCalculator;pub use costs::PortfolioCost;pub use data::DataFormat;pub use data::DataLoader;pub use data::DataManager;pub use data::DataSource;pub use data::DateRange;pub use engine::Engine;pub use optimize::GridSearch;pub use optimize::OptimizationResult;pub use panel::Panel;pub use parallel::ParallelExecutor;pub use parallel::ParallelConfig;pub use parallel::AssetResult;pub use parallel::execute_parallel;pub use reporting::Attribution;pub use reporting::ReportExporter;pub use universe::Universe;pub use universe::UniverseManager;pub use universe::DynamicUniverse;pub use universe::MarketCapCategory;pub use viz::ChartGenerator;pub use viz::ReportVisualizer;pub use walk_forward::WalkForward;pub use walk_forward::WalkForwardConfig;pub use walk_forward::WalkForwardResult;pub use walk_forward::FoldResult;pub use audit::AuditLogger;pub use audit::AuditEvent;pub use audit::AuditEntry;pub use audit::audit_log;pub use audit::init_audit_logger;pub use benchmark::BenchmarkAnalyzer;pub use metrics::MetricsRegistry;pub use metrics::Timer;pub use metrics::metrics;pub use result_store::ResultStore;pub use result_store::ResultMetadata;pub use result_store::ResultQuery;pub use result_store::ResultId;pub use result_store::ResultStoreRegistry;pub use result_store::MemoryResultStore;pub use result_store::PostgresResultStore;pub use result_store::generate_result_id;pub use result_store::ResultComparison;pub use result_store::ComparisonWinner;pub use result_store::PerformanceHistory;pub use result_store::PerformanceTrend;pub use result_store::load_performance_history;pub use alerts::Alert;pub use alerts::AlertSeverity;pub use alerts::AlertSink;pub use alerts::AlertManager;pub use alerts::AlertRule;pub use alerts::ConsoleAlertSink;pub use alerts::SlackAlertSink;pub use alerts::MockAlertSink;pub use scheduler::Job;pub use scheduler::JobStatus;pub use scheduler::Schedule;pub use scheduler::JobScheduler;pub use scheduler::JobResult;pub use scheduler::MemoryScheduler;pub use scheduler::CronScheduler;pub use scheduler::SchedulerRegistry;pub use data_quality::DataValidator;pub use data_quality::DataQualityValidator;pub use data_quality::DataIssue;pub use data_quality::IssueSeverity;pub use data_quality::ValidationResult;pub use data_quality::MissingDataCheck;pub use data_quality::OutlierCheck;pub use data_quality::OutlierMethod;pub use data_quality::FreshnessCheck;pub use data_quality::DuplicateCheck;pub use connectors_async::AsyncPgConnector;pub use connectors_async::AsyncConnectorConfig;pub use connectors_async::AsyncConnectorRegistry;pub use connectors_async::PoolStats;pub use corporate_actions::CorporateAction;pub use corporate_actions::ActionType;pub use corporate_actions::CorporateActionAdjuster;pub use corporate_actions::StandardAdjuster;pub use corporate_actions::CorporateActionStore;pub use corporate_actions::SymbolMapper;pub use simd_kernels::KernelDispatcher;pub use simd_kernels::KernelConfig;pub use simd_kernels::rolling_mean_simd;pub use simd_kernels::rolling_std_simd;pub use simd_kernels::cumsum_simd;pub use simd_kernels::ema_simd;pub use simd_kernels::batch_rolling_mean;pub use simd_kernels::batch_rolling_std;pub use mmap_data::MmapLoader;pub use mmap_data::DataStream;pub use mmap_data::MmapCache;pub use incremental::IncrementalCompute;pub use incremental::IncrementalProcessor;pub use incremental::RollingMeanState;pub use incremental::RollingStdState;pub use incremental::EmaState;pub use incremental::CumsumState;pub use incremental::RsiState;pub use config::RuntimeConfig;pub use config::DatabaseConfig;pub use config::ExecutionConfig;pub use config::DataConfig;pub use config::AlertConfig;pub use config::LoggingConfig;pub use config::CacheConfig;pub use config::BacktestConfig;pub use config::StrategyParams;pub use factors::FamaFrench;pub use factors::FactorExposures;pub use factors::ReturnDecomposition;pub use factors::BarraModel;pub use factors::FactorBuilder;pub use factors::FactorAnalysis;pub use factors::analyze_factors;pub use risk_models::VaRCalculator;pub use risk_models::CVaRCalculator;pub use risk_models::StressTest;pub use risk_models::StressScenario;pub use risk_models::RiskReport;pub use risk_models::generate_risk_report;pub use risk_models::MarginalVaR;pub use risk_models::component_var;pub use regime::MarketRegime;pub use regime::HiddenMarkovModel;pub use regime::VolatilityRegime;pub use regime::TrendRegime;pub use regime::RegimeDetector;pub use regime::KMeansRegime;pub use portfolio_opt::OptimalPortfolio;pub use portfolio_opt::MeanVarianceOptimizer;pub use portfolio_opt::PortfolioConstraints;pub use portfolio_opt::RiskParityOptimizer;pub use portfolio_opt::BlackLitterman;pub use portfolio_opt::View;pub use portfolio_opt::HierarchicalRiskParity;pub use safety::activate_kill_switch;pub use safety::deactivate_kill_switch;pub use safety::is_kill_switch_active;pub use safety::CircuitBreaker;pub use safety::CircuitBreakerConfig;pub use safety::CircuitState;pub use safety::PositionLimits;pub use safety::PositionLimitEnforcer;pub use safety::Order;pub use safety::OrderSide;pub use safety::OrderType;pub use safety::OrderValidator;pub use safety::OrderValidationRules;pub use safety::RateLimiter;pub use safety::SafetyManager;pub use safety::SafetyStatus;pub use integrations::MarketDataProvider;pub use integrations::Quote;pub use integrations::YahooFinance;pub use integrations::AlpacaBroker;pub use integrations::AlpacaAccount;pub use integrations::AlpacaPosition;pub use integrations::AlpacaOrder;pub use integrations::AlpacaOrderResponse;pub use integrations::StreamingClient;pub use integrations::IntegrationRegistry;
Modules§
- alerts
- Alert system for notifications and monitoring
- attribution
- Returns attribution analysis
- audit
- Audit logging for compliance and governance
- backtest
- Backtesting engine for portfolio strategies
- benchmark
- Benchmark-relative metrics calculation
- config
- Unified configuration system for sigc runtime
- connectors
- Data connectors for SQL databases and cloud storage
- connectors_
async - Async data connectors with connection pooling
- constraints
- Position constraints and risk limits
- corporate_
actions - Corporate actions handling for price adjustments
- costs
- Transaction cost models for realistic backtesting
- data
- Data ingestion layer using Polars and object_store
- data_
quality - Data quality validation and checks
- engine
- Execution engine for IR graphs
- factors
- Factor models for risk decomposition and alpha generation
- incremental
- Incremental computation support
- integrations
- External integrations for data vendors and brokers
- kernels
- SIMD-accelerated kernel implementations
- metrics
- Observability and metrics for monitoring sigc performance
- mmap_
data - Memory-mapped data loading for large datasets
- optimize
- Parameter optimization via grid search
- panel
- Panel data structure for time x assets operations
- parallel
- Parallel execution for large universes
- portfolio_
opt - Portfolio optimization algorithms
- regime
- Regime detection for market state identification
- reporting
- Reporting and export functionality for backtest results
- result_
store - Result persistence for backtest results
- risk_
models - Risk models for VaR, CVaR, and stress testing
- safety
- Trading safety systems
- scheduler
- Job scheduling for running strategies on a schedule
- simd_
kernels - SIMD-optimized kernel implementations for high-performance computation
- universe
- Universe management for stock filtering and membership
- viz
- Visualization module for backtest results
- walk_
forward - Walk-forward optimization for robustness testing
Structs§
- Runtime
- Runtime execution context