Function df_to_ohlcv_columns

crates/openquant/src/data_processing.rs:305–365

(df: &DataFrame)

}

fn df_to_ohlcv_columns(df: &DataFrame) -> Result<OhlcvColumns, String> {
    let timestamps_us = df
        .column("ts_us")
        .map_err(|e| format!("missing ts_us: {e}"))?
        .i64()
        .map_err(|e| format!("ts_us type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let symbols = df
        .column("symbol")
        .map_err(|e| format!("missing symbol: {e}"))?
        .str()
        .map_err(|e| format!("symbol type error: {e}"))?
        .into_no_null_iter()
        .map(ToString::to_string)
        .collect::<Vec<_>>();
    let open = df
        .column("open")
        .map_err(|e| format!("missing open: {e}"))?
        .f64()
        .map_err(|e| format!("open type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let high = df
        .column("high")
        .map_err(|e| format!("missing high: {e}"))?
        .f64()
        .map_err(|e| format!("high type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let low = df
        .column("low")
        .map_err(|e| format!("missing low: {e}"))?
        .f64()
        .map_err(|e| format!("low type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let close = df
        .column("close")
        .map_err(|e| format!("missing close: {e}"))?
        .f64()
        .map_err(|e| format!("close type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let volume = df
        .column("volume")
        .map_err(|e| format!("missing volume: {e}"))?
        .f64()
        .map_err(|e| format!("volume type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();
    let adj_close = df
        .column("adj_close")
        .map_err(|e| format!("missing adj_close: {e}"))?
        .f64()
        .map_err(|e| format!("adj_close type error: {e}"))?
        .into_no_null_iter()
        .collect::<Vec<_>>();