Pratik BhadaneandClaude Sonnet 4.6
70b99ad870
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
92 lines
3.1 KiB
Rust
92 lines
3.1 KiB
Rust
//! Crypto and 24/7 market helpers.
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//!
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//! - `funding_cumulative_pnl` — cumulative PnL from periodic funding rate payments
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//! - `continuous_bar_labels` — assign sequential integer labels based on fixed period size
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//! - `mark_session_boundaries` — return indices where a new UTC day begins
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/// Compute the cumulative PnL from funding rate payments.
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///
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/// `position_size` and `funding_rate` must have the same length.
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/// PnL at period i = -position_size[i] * funding_rate[i] (longs pay when rate > 0).
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pub fn funding_cumulative_pnl(position_size: &[f64], funding_rate: &[f64]) -> Vec<f64> {
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let n = position_size.len();
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let mut out = vec![0.0_f64; n];
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let mut cumulative = 0.0_f64;
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for i in 0..n {
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cumulative += -position_size[i] * funding_rate[i];
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out[i] = cumulative;
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}
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out
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}
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/// Assign a sequential integer label per bar based on a fixed-size period.
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///
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/// Bars 0..(period_bars-1) get label 0, bars period_bars..(2*period_bars-1) get label 1, etc.
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/// `period_bars` must be >= 1.
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pub fn continuous_bar_labels(n_bars: usize, period_bars: usize) -> Vec<i64> {
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(0..n_bars).map(|i| (i / period_bars) as i64).collect()
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}
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/// Return bar indices where a new UTC day begins (based on nanosecond timestamps).
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///
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/// Bar 0 is always included as the first boundary.
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pub fn mark_session_boundaries(timestamps_ns: &[i64]) -> Vec<i64> {
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let n = timestamps_ns.len();
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if n == 0 {
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return vec![];
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}
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const NS_PER_DAY: i64 = 86_400_000_000_000;
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let mut out = vec![0i64]; // bar 0 is always a boundary
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let mut prev_day = timestamps_ns[0].div_euclid(NS_PER_DAY);
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for (i, &t) in timestamps_ns.iter().enumerate().skip(1) {
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let day = t.div_euclid(NS_PER_DAY);
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if day != prev_day {
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out.push(i as i64);
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prev_day = day;
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}
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}
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out
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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#[test]
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fn test_funding_cumulative_pnl() {
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let pos = vec![100.0, 100.0, -50.0];
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let rate = vec![0.001, -0.002, 0.001];
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let result = funding_cumulative_pnl(&pos, &rate);
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assert!((result[0] - (-0.1)).abs() < 1e-10);
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assert!((result[1] - 0.1).abs() < 1e-10); // -0.1 + 0.2 = 0.1
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assert!((result[2] - 0.15).abs() < 1e-10); // 0.1 + 0.05 = 0.15
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}
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#[test]
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fn test_continuous_bar_labels() {
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let labels = continuous_bar_labels(7, 3);
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assert_eq!(labels, vec![0, 0, 0, 1, 1, 1, 2]);
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}
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#[test]
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fn test_mark_session_boundaries() {
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let ns_per_day: i64 = 86_400_000_000_000;
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let ts = vec![
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0, // day 0
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ns_per_day / 2, // day 0
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ns_per_day, // day 1
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ns_per_day + ns_per_day / 2, // day 1
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ns_per_day * 2, // day 2
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];
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let result = mark_session_boundaries(&ts);
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assert_eq!(result, vec![0, 2, 4]);
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}
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#[test]
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fn test_empty() {
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assert!(funding_cumulative_pnl(&[], &[]).is_empty());
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assert!(continuous_bar_labels(0, 1).is_empty());
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assert!(mark_session_boundaries(&[]).is_empty());
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}
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}
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