Pratik Bhadane
120 lines
3.6 KiB
Rust
120 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) =
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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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