Function labeling_get_bins

crates/pyopenquant/src/labeling.rs:264–296

(
    events: Vec<(String, Option<String>, f64, Option<f64>, f64, f64)>,
    close_timestamps: Vec<String>,
    close_prices: Vec<f64>,
)

) -> PyResult<Vec<(String, f64, f64, i8, Option<f64>)>> {
    let close =
        pair_timestamps_values(close_timestamps, close_prices, "close_timestamps", "close_prices")?;

    let parsed_events: Vec<(chrono::NaiveDateTime, openquant::labeling::Event)> = events
        .into_iter()
        .map(|(ts_str, t1_str, trgt, side, pt, sl)| {
            let ts = chrono::NaiveDateTime::parse_from_str(&ts_str, "%Y-%m-%d %H:%M:%S").map_err(
                |e| pyo3::exceptions::PyValueError::new_err(format!("invalid datetime: {e}")),
            )?;
            let t1 = t1_str
                .map(|s| {
                    chrono::NaiveDateTime::parse_from_str(&s, "%Y-%m-%d %H:%M:%S").map_err(|e| {
                        pyo3::exceptions::PyValueError::new_err(format!("invalid datetime: {e}"))
                    })
                })
                .transpose()?;
            Ok((ts, openquant::labeling::Event { t1, trgt, side, pt, sl }))
        })
        .collect::<PyResult<Vec<_>>>()?;

    let bins = openquant::labeling::get_bins(&parsed_events, &close);
    Ok(bins
        .into_iter()
        .map(|(ts, ret, trgt, label, side)| {
            (ts.format("%Y-%m-%d %H:%M:%S").to_string(), ret, trgt, label, side)
        })
        .collect())
}

#[pyfunction(name = "drop_labels")]
fn labeling_drop_labels(
    events: Vec<(String, f64, f64, i8, Option<f64>)>,
    min_pct: f64,
) -> Vec<(String, f64, f64, i8, Option<f64>)> {
    let parsed: Vec<(chrono::NaiveDateTime, f64, f64, i8, Option<f64>)> = events
        .into_iter()
        .filter_map(|(ts_str, ret, trgt, label, side)| {