use_quant/
lib.rs

1#![forbid(unsafe_code)]
2#![doc = include_str!("../README.md")]
3
4//! Thin facade for `RustUse` quantitative finance primitive crates.
5//!
6//! `use-quant` describes quantitative finance vocabulary. It is not a trading system,
7//! backtesting framework, financial advisor, broker integration, market data provider, charting
8//! library, portfolio optimizer, risk platform, finance system, or accounting system.
9
10pub use use_bar as bar;
11pub use use_drawdown as drawdown;
12pub use use_factor as factor;
13pub use use_market_price as market_price;
14pub use use_portfolio_weight as portfolio_weight;
15pub use use_price_series as price_series;
16pub use use_return as return_;
17pub use use_risk as risk;
18pub use use_signal_score as signal_score;
19pub use use_tick as tick;
20pub use use_volatility as volatility;
21
22/// Common quantitative primitive types from the focused crates.
23pub mod prelude {
24    pub use crate::bar::{BarInterval, BarTime, OhlcBar, OhlcvBar};
25    pub use crate::drawdown::{Drawdown, DrawdownPoint, DrawdownWindow};
26    pub use crate::factor::{FactorExposure, FactorLoading, FactorModelName, FactorName};
27    pub use crate::market_price::{MarketPrice, PriceKind, PriceQuote};
28    pub use crate::portfolio_weight::{AssetWeight, PortfolioWeight, WeightSet};
29    pub use crate::price_series::{PricePoint, PriceSeries, SeriesName};
30    pub use crate::return_::{LogReturn, ReturnKind, ReturnValue, SimpleReturn};
31    pub use crate::risk::{RiskBudget, RiskLevel, RiskLimit, RiskMeasure};
32    pub use crate::signal_score::{SignalDirection, SignalName, SignalScore, SignalStrength};
33    pub use crate::tick::{QuoteTick, Tick, TickKind, TradeTick};
34    pub use crate::volatility::{Volatility, VolatilityKind, VolatilityWindow};
35}
36
37#[cfg(test)]
38mod tests {
39    use super::{
40        bar, drawdown, factor, market_price, portfolio_weight, price_series, return_, risk,
41        signal_score, tick, volatility,
42    };
43
44    #[test]
45    fn facade_exposes_composable_quant_primitives() -> Result<(), Box<dyn std::error::Error>> {
46        let close = market_price::MarketPrice::new(101.25)?;
47        let simple_return = return_::SimpleReturn::from_prices(100.0, close.value())?;
48        let bar = bar::OhlcvBar::from_values(
49            bar::BarTime::new("2026-05-17")?,
50            bar::BarInterval::Day,
51            100.0,
52            102.0,
53            99.5,
54            close.value(),
55            42_000.0,
56        )?;
57        let trade = tick::TradeTick::new(close).with_size(100.0)?;
58        let mut series = price_series::PriceSeries::new();
59        series.push(price_series::PricePoint::new(
60            market_price::MarketPrice::new(100.0)?,
61        ));
62        series.push(price_series::PricePoint::new(close));
63        let volatility = volatility::Volatility::new(0.20)?;
64        let drawdown = drawdown::Drawdown::from_peak_current(105.0, close.value())?;
65        let weight = portfolio_weight::AssetWeight::new(
66            "ABC",
67            portfolio_weight::PortfolioWeight::new(0.25)?,
68        )?;
69        let exposure = factor::FactorExposure::new(factor::FactorName::new("momentum")?, 0.7)?;
70        let signal =
71            signal_score::SignalScore::new(signal_score::SignalName::new("quality-score")?, 1.2)?;
72        let limit = risk::RiskLimit::new(risk::RiskMeasure::Volatility, 0.20)?;
73
74        assert!((simple_return.value() - 0.0125).abs() < 1.0e-12);
75        assert!((bar.bar().close().value() - 101.25).abs() < f64::EPSILON);
76        assert_eq!(trade.tick().size(), Some(100.0));
77        assert_eq!(series.len(), 2);
78        assert!((volatility.value() - 0.20).abs() < f64::EPSILON);
79        assert!(drawdown.value() <= 0.0);
80        assert_eq!(weight.asset_id(), "ABC");
81        assert_eq!(exposure.factor().as_str(), "momentum");
82        assert!((signal.score() - 1.2).abs() < f64::EPSILON);
83        assert_eq!(limit.measure(), &risk::RiskMeasure::Volatility);
84        Ok(())
85    }
86}
use_quant/lib.rs

use_quant/
lib.rs
