data_structures

Event-Driven Data and Labeling

Constructs standard/time/run/imbalance bars from trade streams.

Why This Module Exists

Event-based bars reduce heteroskedasticity and improve stationarity versus fixed-time sampling.

Key Public APIs

standard_bars
time_bars
run_bars
imbalance_bars
Trade
StandardBar

Core Math

Dollar Bar Trigger

\[\sum_{i=t_0}^{t} p_i v_i \ge \theta\]

Imbalance Trigger

\[\left|\sum b_i\right| \ge E[|\sum b_i|]\]

Code Examples

Build time bars

use chrono::Duration;
use openquant::data_structures::{time_bars, Trade};

let trades: Vec<Trade> = vec![];
let bars = time_bars(&trades, Duration::minutes(5));

Implementation Notes

Threshold selection controls bar frequency and noise level.
Keep OHLCV semantics consistent across downstream features.