feat: init the repo
This commit is contained in:
Pratik Bhadane
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//! Resampling — OHLCV resampling and multi-timeframe helpers.
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//!
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//! Provides volume-bar resampling and OHLCV aggregation primitives.
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//! Time-based resampling (pandas rule strings) is handled in the Python layer;
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//! this module provides the compute-heavy parts that benefit from Rust.
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//!
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//! # Functions
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//! - `volume_bars` — Aggregate ticks/bars into bars of fixed volume size.
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//! - `ohlcv_agg` — Aggregate an array of OHLCV bars given bar-index labels.
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use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
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use pyo3::exceptions::PyValueError;
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use pyo3::prelude::*;
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/// Return type for functions that return five OHLCV 1-D arrays.
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type Ohlcv5<'py> = (
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Bound<'py, PyArray1<f64>>,
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Bound<'py, PyArray1<f64>>,
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Bound<'py, PyArray1<f64>>,
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Bound<'py, PyArray1<f64>>,
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Bound<'py, PyArray1<f64>>,
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);
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// ---------------------------------------------------------------------------
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// volume_bars
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// ---------------------------------------------------------------------------
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/// Aggregate OHLCV data into volume bars of a fixed volume threshold.
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///
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/// Each output bar accumulates input bars until `volume_threshold` units of
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/// volume have been consumed. The resulting bar has:
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/// - open = first open of the group
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/// - high = max high of the group
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/// - low = min low of the group
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/// - close = last close of the group
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/// - volume = sum of volumes (approximately `volume_threshold`)
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///
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/// Returns five 1-D arrays: (open, high, low, close, volume).
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///
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/// Parameters
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/// ----------
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/// open, high, low, close, volume : 1-D float64 arrays (equal length)
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/// volume_threshold : float — target volume per bar (must be > 0)
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///
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/// Returns
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/// -------
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/// Tuple of five 1-D float64 arrays (open, high, low, close, volume).
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#[pyfunction]
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#[pyo3(signature = (open, high, low, close, volume, volume_threshold))]
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pub fn volume_bars<'py>(
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py: Python<'py>,
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open: PyReadonlyArray1<'py, f64>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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volume_threshold: f64,
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) -> PyResult<Ohlcv5<'py>> {
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if volume_threshold <= 0.0 {
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return Err(PyValueError::new_err("volume_threshold must be > 0"));
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}
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let o = open.as_slice()?;
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let h = high.as_slice()?;
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let l = low.as_slice()?;
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let c = close.as_slice()?;
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let v = volume.as_slice()?;
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let n = o.len();
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if n == 0 || h.len() != n || l.len() != n || c.len() != n || v.len() != n {
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return Err(PyValueError::new_err(
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"All input arrays must be non-empty and have equal length",
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));
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}
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let mut out_open: Vec<f64> = Vec::new();
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let mut out_high: Vec<f64> = Vec::new();
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let mut out_low: Vec<f64> = Vec::new();
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let mut out_close: Vec<f64> = Vec::new();
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let mut out_vol: Vec<f64> = Vec::new();
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let mut bar_open = o[0];
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let mut bar_high = h[0];
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let mut bar_low = l[0];
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let mut bar_close = c[0];
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let mut bar_vol = v[0];
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for i in 1..n {
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bar_high = bar_high.max(h[i]);
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bar_low = bar_low.min(l[i]);
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bar_close = c[i];
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bar_vol += v[i];
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if bar_vol >= volume_threshold {
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out_open.push(bar_open);
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out_high.push(bar_high);
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out_low.push(bar_low);
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out_close.push(bar_close);
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out_vol.push(bar_vol);
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// Start new bar
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if i + 1 < n {
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bar_open = o[i + 1];
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bar_high = h[i + 1];
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bar_low = l[i + 1];
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bar_close = c[i + 1];
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bar_vol = v[i + 1];
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}
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}
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}
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// Push any remaining partial bar
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if bar_vol > 0.0 && out_vol.last().is_none_or(|&last| last != bar_vol) {
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out_open.push(bar_open);
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out_high.push(bar_high);
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out_low.push(bar_low);
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out_close.push(bar_close);
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out_vol.push(bar_vol);
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}
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Ok((
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out_open.into_pyarray(py),
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out_high.into_pyarray(py),
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out_low.into_pyarray(py),
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out_close.into_pyarray(py),
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out_vol.into_pyarray(py),
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))
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}
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// ---------------------------------------------------------------------------
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// ohlcv_agg
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// ---------------------------------------------------------------------------
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/// Aggregate OHLCV bars by integer group labels.
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///
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/// Given OHLCV arrays and a `labels` array of non-negative integers (same
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/// length), groups consecutive bars with the same label and computes:
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/// - open = first open of the group
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/// - high = max high of the group
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/// - low = min low of the group
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/// - close = last close of the group
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/// - volume = sum of volumes
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///
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/// `labels` must be non-decreasing (groups are contiguous).
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///
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/// Returns five 1-D arrays: (open, high, low, close, volume).
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#[pyfunction]
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#[pyo3(signature = (open, high, low, close, volume, labels))]
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pub fn ohlcv_agg<'py>(
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py: Python<'py>,
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open: PyReadonlyArray1<'py, f64>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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labels: PyReadonlyArray1<'py, i64>,
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) -> PyResult<Ohlcv5<'py>> {
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let o = open.as_slice()?;
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let h = high.as_slice()?;
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let l = low.as_slice()?;
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let c = close.as_slice()?;
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let v = volume.as_slice()?;
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let lbl = labels.as_slice()?;
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let n = o.len();
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if n == 0 || h.len() != n || l.len() != n || c.len() != n || v.len() != n || lbl.len() != n {
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return Err(PyValueError::new_err(
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"All input arrays must be non-empty and have equal length",
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));
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}
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let mut out_open: Vec<f64> = Vec::new();
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let mut out_high: Vec<f64> = Vec::new();
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let mut out_low: Vec<f64> = Vec::new();
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let mut out_close: Vec<f64> = Vec::new();
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let mut out_vol: Vec<f64> = Vec::new();
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let mut cur_label = lbl[0];
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let mut bar_open = o[0];
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let mut bar_high = h[0];
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let mut bar_low = l[0];
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let mut bar_close = c[0];
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let mut bar_vol = v[0];
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for i in 1..n {
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if lbl[i] != cur_label {
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out_open.push(bar_open);
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out_high.push(bar_high);
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out_low.push(bar_low);
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out_close.push(bar_close);
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out_vol.push(bar_vol);
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cur_label = lbl[i];
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bar_open = o[i];
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bar_high = h[i];
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bar_low = l[i];
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bar_close = c[i];
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bar_vol = v[i];
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} else {
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bar_high = bar_high.max(h[i]);
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bar_low = bar_low.min(l[i]);
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bar_close = c[i];
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bar_vol += v[i];
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}
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}
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out_open.push(bar_open);
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out_high.push(bar_high);
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out_low.push(bar_low);
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out_close.push(bar_close);
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out_vol.push(bar_vol);
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Ok((
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out_open.into_pyarray(py),
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out_high.into_pyarray(py),
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out_low.into_pyarray(py),
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out_close.into_pyarray(py),
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out_vol.into_pyarray(py),
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))
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}
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// ---------------------------------------------------------------------------
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// Register
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// ---------------------------------------------------------------------------
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pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_function(wrap_pyfunction!(volume_bars, m)?)?;
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m.add_function(wrap_pyfunction!(ohlcv_agg, m)?)?;
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Ok(())
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}
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