Expand description
Common quantitative primitive types from the focused crates.
Structs§
- Asset
Weight - A non-empty asset identifier paired with a portfolio weight.
- BarTime
- A simple bar time label.
- Drawdown
- A finite drawdown value using the convention
current / peak - 1.0, capped at0.0. - Drawdown
Point - A drawdown point with an optional label.
- Drawdown
Window - A simple observation-count drawdown window.
- Factor
Exposure - A factor exposure value.
- Factor
Loading - A factor loading value.
- Factor
Model Name - A non-empty factor model name.
- Factor
Name - A non-empty factor name.
- LogReturn
- A finite log return value.
- Market
Price - A finite non-negative market price value.
- OhlcBar
- A primitive OHLC bar.
- Ohlcv
Bar - A primitive OHLCV bar.
- Portfolio
Weight - A finite portfolio weight value.
- Price
Point - A price point with an optional label.
- Price
Quote - A market price paired with descriptive price-kind vocabulary.
- Price
Series - A lightweight insertion-ordered price series.
- Quote
Tick - A quote tick with optional bid and ask prices.
- Return
Value - A return value paired with descriptive return-kind vocabulary.
- Risk
Budget - A simple numeric risk budget value.
- Risk
Limit - A simple numeric risk limit threshold.
- Series
Name - A non-empty price series name.
- Signal
Name - A non-empty signal name.
- Signal
Score - A finite quantitative signal score with descriptive semantics.
- Simple
Return - A finite simple return value.
- Tick
- A single price tick with optional timestamp label and size.
- Trade
Tick - A trade tick wrapper.
- Volatility
- A finite non-negative volatility value.
- Volatility
Window - A simple observation-count volatility window.
- Weight
Set - A deterministic set of asset weights keyed by asset identifier.
Enums§
- BarInterval
- Descriptive bar interval vocabulary.
- Price
Kind - Descriptive market price kind vocabulary.
- Return
Kind - Descriptive return kind vocabulary.
- Risk
Level - Descriptive risk level vocabulary.
- Risk
Measure - Descriptive risk measure vocabulary.
- Signal
Direction - Descriptive signal direction vocabulary.
- Signal
Strength - Descriptive signal strength vocabulary.
- Tick
Kind - Descriptive tick kind vocabulary.
- Volatility
Kind - Descriptive volatility kind vocabulary.