Function build_bar

crates/openquant/src/data_structures.rs:210–237

(trades: &[Trade])

}

fn build_bar(trades: &[Trade]) -> StandardBar {
    assert!(!trades.is_empty(), "cannot build a bar from an empty trade slice");

    let open = trades.first().expect("non-empty slice").price;
    let close = trades.last().expect("non-empty slice").price;
    let start_timestamp = trades.first().expect("non-empty slice").timestamp;
    let timestamp = trades.last().expect("non-empty slice").timestamp;
    let (high, low) = trades.iter().fold((f64::NEG_INFINITY, f64::INFINITY), |(h, l), trade| {
        (h.max(trade.price), l.min(trade.price))
    });
    let (volume, dollar_value) = trades.iter().fold((0.0, 0.0), |(v, d), trade| {
        let next_v = v + trade.volume;
        let next_d = d + trade.price * trade.volume;
        (next_v, next_d)
    });

    StandardBar {
        start_timestamp,
        timestamp,
        open,
        high,
        low,
        close,
        volume,
        dollar_value,
        tick_count: trades.len(),
    }
}

fn trade_sign(price: f64, prev_price: f64, prev_sign: i8) -> i8 {
    if price > prev_price {