Struct TurnOfMonth 

pub struct TurnOfMonth { /* private fields */ }

Turn-of-Month effect: the running mean of daily close-to-close returns for the sessions that fall in the turn-of-month window.

Each completed session (the wall-clock day of Candle::timestamp shifted by utc_offset_minutes) contributes its return close / previous_close - 1. Only sessions whose day-of-month is within the first n_first or last n_last days of their month are averaged; the rest are ignored. The classic effect uses n_first = 3, n_last = 1.

Example

use wickra_core::{Candle, Indicator, TurnOfMonth};

let day = 24 * 3_600_000;
// 2021-01-29 .. 02-02 — all turn-of-month days with n_first=3, n_last=1.
let mut tom = TurnOfMonth::new(3, 1, 0).unwrap();
let start = 1_611_878_400_000; // 2021-01-29 00:00 UTC
let mut last = None;
for (i, close) in [100.0, 101.0, 102.0, 103.0].iter().enumerate() {
    let ts = start + i as i64 * day;
    last = tom.update(Candle::new(*close, *close, *close, *close, 1.0, ts).unwrap());
}
assert!(last.is_some());

Implementations

impl TurnOfMonth

pub fn new(n_first: u32, n_last: u32, utc_offset_minutes: i32) -> Result<Self>

The offset is a constant and does not follow daylight saving: for a venue that observes it, one value is correct for part of the year and an hour out for the rest, which shifts every session boundary by an hour. Either pass the offset in force for the span being analysed and keep spans that cross a transition apart, or convert the timestamps to the venue’s wall clock upstream and pass 0. Construct a Turn-of-Month indicator.

Errors

Returns Error::PeriodZero if both n_first and n_last are zero (the window would never include a day).

pub fn classic() -> Self

Classic turn-of-month window: first 3 and last 1 day of the month.

pub const fn params(&self) -> (u32, u32, i32)

Configured (n_first, n_last, utc_offset_minutes).

pub fn value(&self) -> Option<f64>

Most recent mean turn-of-month return if any in-window day has completed.

Trait Implementations

impl Clone for TurnOfMonth

fn clone(&self) -> TurnOfMonth

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TurnOfMonth

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

Formats the value using the given formatter.

impl Indicator for TurnOfMonth

type Input = Candle

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, candle: Candle) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if there is no value for this input.

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.