Struct RunBars 

pub struct RunBars { /* private fields */ }

Run bar builder — a simplified form of López de Prado’s run bars.

A run is an uninterrupted sequence of same-signed ticks: a streak of up-ticks (a buy run) or down-ticks (a sell run), with unchanged closes extending the current run. This builder counts the current run’s length and closes a bar when it reaches run_length; a tick in the opposite direction restarts the run from one. Where ImbalanceBars sample on the net signed imbalance (which oscillating flow can cancel back to zero), run bars sample on persistence: they fire only when the market pushes the same way without interruption, making them a cleaner sequential-trend detector.

Simplification. The full method estimates a dynamic expected run length from an EWMA and can weight runs by volume or traded value. This builder uses a fixed run-length threshold on unweighted ticks. See López de Prado (2018), ch. 2, for the adaptive estimator and weighted variants.

At most one bar closes per candle, so BarBuilder::update returns either an empty vector or a single RunBar.

Example

use wickra_core::{BarBuilder, Candle, RunBars};

let flat = |price: f64| Candle::new(price, price, price, price, 1.0, 0).unwrap();
let mut bars = RunBars::new(3).unwrap();
bars.update(flat(10.0));            // seed
bars.update(flat(11.0));            // run 1
bars.update(flat(12.0));            // run 2
let out = bars.update(flat(13.0));  // run 3 -> close
assert_eq!(out.len(), 1);
assert_eq!(out[0].direction, 1);

Implementations

impl RunBars

pub fn new(run_length: usize) -> Result<Self>

Construct a run-bar builder that closes a bar on a run of run_length ticks.

Errors

Returns Error::PeriodZero if run_length == 0.

pub const fn run_length(&self) -> usize

Configured run length that closes a bar.

pub const fn run(&self) -> usize

Length of the in-progress run.

Trait Implementations

impl BarBuilder for RunBars

type Bar = RunBar

Type of one completed bar.

fn update(&mut self, candle: Candle) -> Vec<RunBar>

Feed one candle and return every bar completed on it (possibly none).

fn reset(&mut self)

Reset all internal state to the freshly-constructed configuration.

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

Stable, human-readable builder name.

fn batch(&mut self, candles: &[Candle]) -> Vec<Self::Bar>

Replay update over a slice, concatenating all completed bars. The result length is data-dependent (not the input length).

impl Clone for RunBars

fn clone(&self) -> RunBars

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RunBars

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

Formats the value using the given formatter.