Function trade_sign

crates/openquant/src/data_structures.rs:239–247

(price: f64, prev_price: f64, prev_sign: i8)

    let (first, last) = (&trades[0], &trades[trades.len() - 1]);
    let open = first.price;
    let close = last.price;
    let start_timestamp = first.timestamp;
    let timestamp = last.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)
    });