Function num_concurrent_events

crates/openquant/src/sample_weights.rs:6–17

Compute number of concurrent events for each timestamp.

(
    close_index: &[NaiveDateTime],
    label_endtime: &[(NaiveDateTime, NaiveDateTime)],
)

/// Compute number of concurrent events for each timestamp.
fn num_concurrent_events(
    close_index: &[NaiveDateTime],
    label_endtime: &[(NaiveDateTime, NaiveDateTime)],
) -> BTreeMap<NaiveDateTime, usize> {
    let mut counts: BTreeMap<NaiveDateTime, usize> = BTreeMap::new();
    for (start, end) in label_endtime {
        for ts in close_index.iter().filter(|ts| **ts >= *start && **ts <= *end) {
            *counts.entry(*ts).or_insert(0) += 1;
        }
    }
    counts
}

/// Average uniqueness from triple barrier events.
#[allow(dead_code)]