Struct RollingQuantile 

pub struct RollingQuantile { /* private fields */ }

The quantile-th quantile of the last period values, with linear interpolation between order statistics.

h        = (period − 1) · quantile
lower    = ⌊h⌋
result   = sorted[lower] + (h − lower) · (sorted[lower + 1] − sorted[lower])

This is the type-7 / NumPy-default quantile definition: quantile = 0.0 returns the window minimum, 0.5 the median, 1.0 the maximum, and fractional values interpolate linearly between the bracketing order statistics. Rolling quantiles are the building block for distribution-aware thresholds — a price sitting above its rolling 90th-percentile, a volatility regime split at the 25th/75th percentiles, robust band edges that ignore the tails.

Each update is O(period log period): the window is copied into a scratch buffer and sorted with total ordering (NaN-safe).

Example

use wickra_core::{Indicator, RollingQuantile};

// Rolling median of the last 5 values.
let mut indicator = RollingQuantile::new(5, 0.5).unwrap();
let out = indicator.update(1.0);
assert!(out.is_none()); // warming up

Implementations

impl RollingQuantile

pub fn new(period: usize, quantile: f64) -> Result<Self>

Construct a new rolling quantile.

quantile selects the order statistic in [0.0, 1.0].

Errors

Returns Error::PeriodZero if period == 0, or Error::InvalidParameter if quantile is not a finite value in [0.0, 1.0].

pub const fn period(&self) -> usize

Configured period.

pub const fn quantile(&self) -> f64

Configured quantile in [0.0, 1.0].

Trait Implementations

impl Clone for RollingQuantile

fn clone(&self) -> RollingQuantile

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RollingQuantile

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

Formats the value using the given formatter.

impl Indicator for RollingQuantile

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, value: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.