Function imbalance_bars

crates/openquant/src/data_structures.rs:166–208

Construct imbalance bars by accumulating signed imbalance (tick, volume, or dollar) until the absolute imbalance crosses `threshold`. Trailing partial bars that have not met the threshold are dropped.

(
    trades: &[Trade],
    threshold: f64,
    bar_type: ImbalanceBarType,
)

/// Construct time bars using a fixed interval. The interval applies from the start
/// timestamp of the current bar; the trade that crosses the interval boundary is
/// included in the closing bar, and accumulation restarts afterward. Any trailing partial bar
/// is emitted as a final, shorter bar. An empty slice yields no bars.
///
/// # Errors
///
/// [`InputError::OutOfRange`] if `interval` is zero or negative.
pub fn time_bars(trades: &[Trade], interval: Duration) -> Result<Vec<StandardBar>, InputError> {
    if interval <= Duration::zero() {
        return Err(InputError::OutOfRange {
            name: "interval",
            value: interval.num_milliseconds() as f64 / 1e3,
            expected: "a positive duration (seconds)",
        });
    }

    let mut bars = Vec::new();
    if trades.is_empty() {
        return Ok(bars);
    }

    let mut start_idx = 0;
    let mut bar_start = trades[0].timestamp;

    for (i, trade) in trades.iter().enumerate() {
        let elapsed = trade.timestamp - bar_start;
        if elapsed >= interval {
            bars.push(build_bar(&trades[start_idx..=i]));
            start_idx = i + 1;
            if start_idx < trades.len() {
                bar_start = trades[start_idx].timestamp;
            }
        }
    }

    if start_idx < trades.len() {
        bars.push(build_bar(&trades[start_idx..]));
    }

    Ok(bars)
}

/// Construct run bars by counting consecutive price-direction runs. A bar closes when
/// `threshold` consecutive moves occur in the same direction. Trailing partial bars
/// that have not met the threshold are dropped. Direction follows the tick rule, so a trade at
/// an unchanged price extends the current run. Fewer than two trades yield no bars.
///