Function labeling_get_events

crates/pyopenquant/src/labeling.rs:203–261

(
    close_timestamps: Vec<String>,
    close_prices: Vec<f64>,
    t_events: Vec<String>,
    pt_sl: (f64, f64),
    target_timestamps: Vec<String>,
    target_values: Vec<f64>,
    min_ret: f64,
  

fn labeling_get_events(
    close_timestamps: Vec<String>,
    close_prices: Vec<f64>,
    t_events: Vec<String>,
    pt_sl: (f64, f64),
    target_timestamps: Vec<String>,
    target_values: Vec<f64>,
    min_ret: f64,
    num_threads: usize,
    vertical_barrier_times: Option<Vec<(String, String)>>,
    side_prediction: Option<Vec<(String, f64)>>,
) -> PyResult<Vec<(String, Option<String>, f64, Option<f64>, f64, f64)>> {
    let close =
        pair_timestamps_values(close_timestamps, close_prices, "close_timestamps", "close_prices")?;
    let t_ev = parse_naive_datetimes(t_events)?;
    let target = pair_timestamps_values(
        target_timestamps,
        target_values,
        "target_timestamps",
        "target_values",
    )?;
    let vbars = parse_vertical_barriers(vertical_barrier_times)?;

    let side_storage: Option<Vec<(chrono::NaiveDateTime, f64)>> =
        if let Some(side) = side_prediction {
            let (timestamps, values): (Vec<String>, Vec<f64>) = side.into_iter().unzip();
            Some(pair_timestamps_values(timestamps, values, "side timestamps", "side values")?)
        } else {
            None
        };

    let events = openquant::labeling::get_events(
        &close,
        &t_ev,
        pt_sl,
        &target,
        min_ret,
        num_threads,
        vbars.as_deref(),
        side_storage.as_deref(),
    );
    Ok(events
        .into_iter()
        .map(|(ts, ev)| {
            (
                ts.format("%Y-%m-%d %H:%M:%S").to_string(),
                ev.t1.map(|v| v.format("%Y-%m-%d %H:%M:%S").to_string()),
                ev.trgt,
                ev.side,
                ev.pt,
                ev.sl,
            )
        })
        .collect())
}

#[pyfunction(name = "get_bins")]
fn labeling_get_bins(
    events: Vec<(String, Option<String>, f64, Option<f64>, f64, f64)>,
    close_timestamps: Vec<String>,