Pratik Bhadane
436954138f
Update version numbers across Rust, Python, and documentation files to 1.1.0. Enhance the .gitignore to include macOS dSYM files and plans directory. Introduce new dependencies in the Rust core library and update the README to reflect recent performance benchmarks and backtesting engine capabilities. Add new artifacts to the benchmarks manifest and improve documentation for the backtesting engine API.
119 lines
3.6 KiB
Rust
119 lines
3.6 KiB
Rust
//! Tick/trade aggregation (thin PyO3 wrapper over ferro_ta_core::aggregation).
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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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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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type Ohlcv5AndLabels<'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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Bound<'py, PyArray1<i64>>,
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);
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/// Aggregate tick/trade data into tick bars (every N ticks become one bar).
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#[pyfunction]
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#[pyo3(signature = (price, size, ticks_per_bar))]
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pub fn aggregate_tick_bars<'py>(
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py: Python<'py>,
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price: PyReadonlyArray1<'py, f64>,
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size: PyReadonlyArray1<'py, f64>,
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ticks_per_bar: usize,
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) -> PyResult<Ohlcv5<'py>> {
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if ticks_per_bar == 0 {
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return Err(PyValueError::new_err("ticks_per_bar must be >= 1"));
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}
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let p = price.as_slice()?;
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let s = size.as_slice()?;
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let n = p.len();
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if n == 0 || s.len() != n {
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return Err(PyValueError::new_err(
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"price and size must be non-empty and equal length",
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));
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}
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let (ro, rh, rl, rc, rv) = ferro_ta_core::aggregation::aggregate_tick_bars(p, s, ticks_per_bar);
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Ok((
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ro.into_pyarray(py),
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rh.into_pyarray(py),
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rl.into_pyarray(py),
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rc.into_pyarray(py),
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rv.into_pyarray(py),
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))
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}
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/// Aggregate tick data into volume bars (fixed volume threshold).
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#[pyfunction]
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#[pyo3(signature = (price, size, volume_threshold))]
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pub fn aggregate_volume_bars_ticks<'py>(
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py: Python<'py>,
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price: PyReadonlyArray1<'py, f64>,
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size: 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 p = price.as_slice()?;
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let s = size.as_slice()?;
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let n = p.len();
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if n == 0 || s.len() != n {
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return Err(PyValueError::new_err(
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"price and size must be non-empty and equal length",
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));
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}
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let (ro, rh, rl, rc, rv) = ferro_ta_core::aggregation::aggregate_volume_bars_ticks(p, s, volume_threshold);
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Ok((
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ro.into_pyarray(py),
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rh.into_pyarray(py),
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rl.into_pyarray(py),
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rc.into_pyarray(py),
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rv.into_pyarray(py),
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))
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}
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/// Aggregate tick data into time bars using pre-computed integer bucket labels.
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#[pyfunction]
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#[pyo3(signature = (price, size, labels))]
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pub fn aggregate_time_bars<'py>(
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py: Python<'py>,
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price: PyReadonlyArray1<'py, f64>,
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size: PyReadonlyArray1<'py, f64>,
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labels: PyReadonlyArray1<'py, i64>,
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) -> PyResult<Ohlcv5AndLabels<'py>> {
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let p = price.as_slice()?;
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let s = size.as_slice()?;
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let lbl = labels.as_slice()?;
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let n = p.len();
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if n == 0 || s.len() != n || lbl.len() != n {
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return Err(PyValueError::new_err(
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"price, size, and labels must be non-empty and equal length",
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));
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}
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let (ro, rh, rl, rc, rv, rlbl) = ferro_ta_core::aggregation::aggregate_time_bars(p, s, lbl);
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Ok((
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ro.into_pyarray(py),
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rh.into_pyarray(py),
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rl.into_pyarray(py),
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rc.into_pyarray(py),
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rv.into_pyarray(py),
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rlbl.into_pyarray(py),
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))
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}
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pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_function(wrap_pyfunction!(aggregate_tick_bars, m)?)?;
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m.add_function(wrap_pyfunction!(aggregate_volume_bars_ticks, m)?)?;
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m.add_function(wrap_pyfunction!(aggregate_time_bars, m)?)?;
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Ok(())
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}
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